Estimating intractable non-linear term structure models
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More about this item
KeywordsMarkov chain Monte Carlo; non-linear state space models; non-Gaussian HJM; LIBOR market model;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-18 (All new papers)
- NEP-ECM-2003-05-22 (Econometrics)
- NEP-MAC-2003-05-18 (Macroeconomics)
- NEP-MON-2003-05-18 (Monetary Economics)
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