Forecasting U.K. and U.S. interest rates using continuous time term structure models
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- Dahlquist, Magnus, 1996. "On alternative interest rate processes," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1093-1119, July.
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"A Theory Of The Term Structure Of Interest Rates,"
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World Scientific Publishing Co. Pte. Ltd..
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- K. Ben Nowman, 1998. "Continuous-time short term interest rate models," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 401-407.
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- Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
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- Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-152, January. Full references (including those not matched with items on IDEAS)
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