An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates
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References listed on IDEAS
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More about this item
KeywordsInterest rates; Econometric models;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2005-10-04 (Financial Markets)
- NEP-MAC-2005-10-04 (Macroeconomics)
- NEP-MON-2005-10-04 (Monetary Economics)
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