Exploration of the Brazilian Term Structure in a Hidden Markov Framework
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KeywordsBrazil; Term Structure; Hidden Markov Models; MCMC; ATSM; parameters; probability; forecasting; covariance; statistics; Bayesian Analysis; Computational Techniques; Financial Economics: General; Money and Interest Rates: Forecasting and Simulation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
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