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Consistent fitting of one-factor models to interest rate data

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Author Info
Rogers, L. C. G.
Stummer, Wolfgang

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File URL: http://www.sciencedirect.com/science/article/B6V8N-41068FM-3/2/12315500288db731ac2cc508474ca49d
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Publisher Info
Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 27 (2000)
Issue (Month): 1 (August)
Pages: 45-63
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Handle: RePEc:eee:insuma:v:27:y:2000:i:1:p:45-63

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Web page: http://www.elsevier.com/locate/inca/505554

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  1. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA. [Downloadable!]
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