Modeling Returns on the Term Structure of Treasury Interest Rates
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References listed on IDEAS
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More about this item
Keywordsterm structure; GARCH; bond returns;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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