Approximating risk premium on a parametric arbitrage-free term structure model
Year of publication: |
november 2014
|
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Authors: | Almeida, Caio ; Ardison, Kym ; Kubudi, Daniela |
Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1980-2447, ZDB-ID 2392364-7. - Vol. 34.2014, 2, p. 203-246
|
Subject: | Term Structure of Interest Rates | Parametric Models | Affine Models | Cross Sectional Estimation | Time Series Analysis | Forecasting | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
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