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Estimation of the term structure from bond data

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Author Info

  • Gouriéroux, Christian
  • Scaillet, O.

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Bibliographic Info

Paper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 9415.

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Length: 42 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:cpm:cepmap:9415

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Cited by:
  1. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  2. Schotman, Peter, 1996. "A Bayesian approach to the empirical valuation of bond options," Journal of Econometrics, Elsevier, vol. 75(1), pages 183-215, November.
  3. Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Universite de Montreal, Departement de sciences economiques.
  4. Bossaerts, P. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 1995-23, Tilburg University, Center for Economic Research.

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