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  • Search: subject:"Continuous-time stochastic models"
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Continuous time stochastic models 1 Continuous-time stochastic models 1 EM algorithm 1 Inflation rates 1 Inflation-linked bonds 1 Interest rates 1 Kalman Filter 1 Treasury Inflation Protected Securities 1 mixed model prediction 1 restricted maximum likelihood 1 smoothing splines 1 unequally spaced observations 1 variance components 1
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Undetermined 2
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Article 2
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Undetermined 2
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Falbo, Paolo 1 Ledolter, Johannes 1 Paris, Francesco 1 Pelizzari, Cristian 1 Tsimikas, John 1
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Annals of the Institute of Statistical Mathematics 1 Quantitative Finance 1
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RePEc 2
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Pricing inflation-linked bonds
Falbo, Paolo; Paris, Francesco; Pelizzari, Cristian - In: Quantitative Finance 10 (2010) 3, pp. 279-293
This paper proposes a pricing model for inflation-linked bonds. Our proposal is developed starting from a Vasicek model of the instantaneous inflation rate process and the Cox, Ingersoll and Ross model for the nominal instantaneous risk-free interest rate process. Instead of adopting the...
Persistent link: https://www.econbiz.de/10008503060
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Analysis of Multi-Unit Variance Components Models with State Space Profiles
Tsimikas, John; Ledolter, Johannes - In: Annals of the Institute of Statistical Mathematics 50 (1998) 1, pp. 147-164
Persistent link: https://www.econbiz.de/10005395594
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