Continuous time modeling of interest rates: An empirical study on the Turkish short rate
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References listed on IDEAS
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More about this item
KeywordsInterest rate modeling; Continuous-time ARMA (CARMA)process; Lévy process;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-30 (All new papers)
- NEP-ARA-2011-01-30 (MENA - Middle East & North Africa)
- NEP-CWA-2011-01-30 (Central & Western Asia)
- NEP-MON-2011-01-30 (Monetary Economics)
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