Modelling interest rate volatility: Regime switches and level links
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Volume (Year): 132 (1996)
Issue (Month): 2 (September)
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References listed on IDEAS
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- Chan, K C, et al, 1992.
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- Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
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- Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September.
- G. Pfann & P. Schotman & R. Tschernig, 1994. "Nonlinear Interest Rate Dynamics and Implications for the Term Structure," SFB 373 Discussion Papers 1994,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March. Full references (including those not matched with items on IDEAS)