Revisiting the shape of the yield curve: the effect of interest rate volatility
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More about this item
KeywordsMultivariate GARCH-M; Short-Rate Volatility; Yield Curve Curvature; Yield Curve Shape; Yield Curve Slope;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-06-24 (All new papers)
- NEP-FIN-2002-06-24 (Finance)
- NEP-FMK-2002-06-24 (Financial Markets)
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