𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Some evidence on the performance of size correction factors in testing consumer demand models

✍ Scribed by P.M.C. De Boer; R. Harkema


Book ID
116100792
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
372 KB
Volume
29
Category
Article
ISSN
0165-1765

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## Abstract This study examines the dynamic hedging performance of the one‐factor LIBOR and swap market models in both caps and swaptions markets, using a procedure similar to the way that these models are used in practice. The effects of different calibration methods on model performance are inves