Interest rate volatility and no-arbitrage affine term structure models
Year of publication: |
2021
|
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Authors: | Joslin, Scott ; Le, Anh |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 12, p. 7391-7416
|
Subject: | finance | asset pricing | investment | economics | econometrics | term structure models | interest rate | volatility | Theorie | Theory | Zinsstruktur | Yield curve | Volatilität | Volatility | Zins | Interest rate | CAPM | Schätzung | Estimation |
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