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Short-term interest rate dynamics: a spatial approach

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Author Info
Bandi, Federico M.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 65 (2002)
Issue (Month): 1 (July)
Pages: 73-110
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Handle: RePEc:eee:jfinec:v:65:y:2002:i:1:p:73-110

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  1. Arapis, Manuel & Gao, Jiti, 2004. "Empirical comparisons in short-term interest rate models using nonparametric methods," MPRA Paper 11974, University Library of Munich, Germany, revised 23 Dec 2005. [Downloadable!]
    Other versions:
  2. Park, Joon Y., 2005. "The Spatial Analysis of Time Series," Working Papers 2005-07, Rice University, Department of Economics. [Downloadable!]
  3. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  4. Peroni, Chiara, 2009. "Testing Linearity in Term Structures," MPRA Paper 16471, University Library of Munich, Germany. [Downloadable!]
  5. Roberto Reno', 2004. "Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling," Department of Economics University of Siena 440, Department of Economics, University of Siena. [Downloadable!]
  6. Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena. [Downloadable!]
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This page was last updated on 2009-12-3.


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