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Search: subject:"Quadratic Gaussian term-structure model"
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A term structure interest rate model with the Brownian bridge lower bound
Kikuchi, Kentaro
- In:
Annals of finance
20
(
2024
)
3
,
pp. 301-328
Persistent link: https://www.econbiz.de/10015188737
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2
Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions
Kikuchi, Kentaro
-
Institute for Monetary and Economic Studies, Bank of Japan
-
2012
To keep yields non-negative in a
quadratic
Gaussian
term
structure
model
(QGTM), the short rate is represented by the …
Persistent link: https://www.econbiz.de/10010819391
Saved in:
3
Term-structure modelling at the zero lower bound : implications for estimating the forward term premium
Chung, Tsz Kin
;
Hui, Cho H.
;
Li, Ka Fai
- In:
Finance research letters
21
(
2017
),
pp. 100-106
Persistent link: https://www.econbiz.de/10011807514
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