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Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li

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Laurini, Márcio P.
Hotta, Luiz K.

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File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=3113
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Paper provided by Ibmec Working Paper, Ibmec São Paulo in its series Ibmec Working Papers with number wpe_86.

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Date of creation: Oct 2007
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Handle: RePEc:ibm:ibmecp:wpe_86

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  1. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January. [Downloadable!] (restricted)
  2. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March. [Downloadable!] (restricted)
  3. Thomas Doan & Robert Litterman & Christopher Sims, 1984. "Forecasting and conditional projection using realistic prior distributions," Econometric Reviews, Taylor and Francis Journals, vol. 3(1), pages 1-100. [Downloadable!] (restricted)
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  4. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(4), pages 573-92. [Downloadable!] (restricted)
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