A Two-Factor Model of the German Term Structure of Interest Rates
In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape of the German term structure of interest rates from 1972 up to 1998.
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|Date of creation:||2001|
|Date of revision:|
|Contact details of provider:|| Postal: Canada; Universite du Quebec a Montreal, Centre de recherche en gestion. Case postale 8888, succursale A, Montreal (Quebec) Canada H3C 3P8|
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