Estimating quadratic term structure models by non-linear filtering
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Bibliographic InfoPaper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 02-6.
Length: 36 pages
Date of creation: 13 May 2003
Date of revision:
Contact details of provider:
Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Fax: + 45 86 15 19 43
Web page: http://www.asb.dk/about/departments/bs.aspx
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Finance; Non-linear programming; Interest rate theory; Term structure;
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