Modelling Specific Interest Rate Risk with Estimation of Missing Data
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- Charles S. Morris & Robert Neal & Doug Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City.
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KeywordsStatistical estimation with missing data; specific interest rate risk; multiple imputation; EM-algorithm; value at risk; copula functions;
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