Estimating the Implied Distribution of the Future Short-Term Interest Rate Using the Longstaff-Schwartz Model
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- Hördahl, Peter, 2000. "Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model," Working Paper Series 0016, European Central Bank.
References listed on IDEAS
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Cited by:
- Leo Krippner, 2003. "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics 03/02, University of Waikato.
- Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
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Keywords
Term structure of interest rates; Monetary policy indicators;JEL classification:
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2001-10-09 (All new papers)
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