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A short term interest rate model

โœ Scribed by Eckhard Platen


Publisher
Springer-Verlag
Year
1999
Tongue
English
Weight
166 KB
Volume
3
Category
Article
ISSN
0949-2984

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This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well-known models in capturing the dynamic behavior of short-term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and incorporates the l