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~institution:"Centre for Analytical Finance <Århus>"
~institution:"Federal Reserve System / Division of Research and Statistics"
~type_genre:"Thesis"
~type_genre:"Working Paper"
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Search: subject_exact:"LIBOR market model"
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Yield curve
17
Zinsstruktur
17
Theorie
14
Theory
14
Markov chain
3
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3
Erwartungsbildung
2
Estimation theory
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1993-2002
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Mikkelsen, Peter
3
Taulbjerg, Jes
3
Christiansen, Charlotte
2
Di Miscia, Orazio
2
Fisher, Mark
2
Shin Jensen, Malene
2
Daniels, Kenneth N.
1
Duffee, Greg
1
Gilles, Christian
1
Nychka, Douglas W.
1
Schmid, Wolfgang
1
Svenstrup, Mikkel
1
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1
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1
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Centre for Analytical Finance <Århus>
Federal Reserve System / Division of Research and Statistics
National Bureau of Economic Research
19
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
12
Federal Reserve Bank of San Francisco
11
Ekonomiska forskningsinstitutet <Stockholm>
8
Federal Reserve Bank of St. Louis
7
University of Exeter / Department of Economics
7
Banque de France / Direction des Etudes Economiques et de la Recherche
6
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Rodney L. White Center for Financial Research
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Reserve Bank of New Zealand
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3
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2
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2
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
2
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2
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
13
Finance and economics discussion series
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ECONIS (ZBW)
17
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1
Estimation of continuous-time interest rate models : a nonparametric approach
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506978
Saved in:
2
Term structure of interest models : concept and estimation problem in a continuous-time setting
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002507013
Saved in:
3
The effect of credit ratings on credit default swap spreads and credit spreads
Daniels, Kenneth N.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491575
Saved in:
4
Sequential monitoring of the statistical properties of the univariate affine diffusion with application to interest
Schmid, Wolfgang
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491667
Saved in:
5
An empirical study of the term structure of interest rates in Denmark, 1993 - 2002
Christiansen, Charlotte
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732981
Saved in:
6
Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
Saved in:
7
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
8
Conditional moment testing, term premia and affine term structural models
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709215
Saved in:
9
Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
Saved in:
10
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
Saved in:
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