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A time-varying Markov chain model of term structure

✍ Scribed by Rogemar S Mamon

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
83 KB
Volume
60
Category
Article
ISSN
0167-7152

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✦ Synopsis

This paper provides the term structure characterization of a Markov interest rate model when the Markov chain is time dependent.

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