## Abstract We consider a new approach for estimating the coefficients of the term structure equation in two‐factor models. This approach is based on the fact that the risk‐neutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have
✦ LIBER ✦
On a general class of one-factor models for the term structure of interest rates
✍ Scribed by W.M. Schmidt
- Publisher
- Springer-Verlag
- Year
- 1996
- Tongue
- English
- Weight
- 209 KB
- Volume
- 1
- Category
- Article
- ISSN
- 0949-2984
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