Estimating intractable non-linear term structure models
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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 02-7.
Length: 39 pages
Date of creation: 13 May 2003
Date of revision:
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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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Markov chain Monte Carlo; non-linear state space models; non-Gaussian HJM; LIBOR market model;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-18 (All new papers)
- NEP-ECM-2003-05-22 (Econometrics)
- NEP-MAC-2003-05-18 (Macroeconomics)
- NEP-MON-2003-05-18 (Monetary Economics)
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