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Search: subject:"Likelihood transformation"
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The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison
To, Thuy Duong
;
Chiarella, Carl
-
Royal Economic Society - RES
-
2003
the futures price and use this evolution to estimate the model parameters via the
likelihood
transformation
technique of …
Persistent link: https://www.econbiz.de/10005232489
Saved in:
2
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
Bhar, Ram
;
Chiarella, Carl
;
To, Thuy-Duong
-
EconWPA
-
2004
forward rate is used to determine the likelihood function for futures prices. The
likelihood
transformation
method of Duan …
Persistent link: https://www.econbiz.de/10005413218
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