The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach
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References listed on IDEAS
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- Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009.
"The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach,"
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- Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-05 (All new papers)
- NEP-CFN-2004-09-05 (Corporate Finance)
- NEP-CMP-2004-09-05 (Computational Economics)
- NEP-ETS-2004-09-05 (Econometric Time Series)
- NEP-FIN-2004-09-05 (Finance)
- NEP-RMG-2004-09-05 (Risk Management)
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