Modelling the Yield Curve: A Two Components Approach
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More about this item
KeywordsTerm structure; Mean reversion; Random walk; Brownian motion; Variance ratio; Linear regression;
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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