Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates
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DOI: 10.1088/1469-7688/3/3/305
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Cited by:
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- Yashkir, Yuriy & Yashkir, Olga, 2013. "Overnight Index Rate: Model, Calibration, and Simulation," MPRA Paper 47574, University Library of Munich, Germany.
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