Dynamic characteristics of expectations of short-term interest rate and a generalized Vasicek model
This study's principal mathematical deduction exploits the importance of the specification of long-term equilibrium level in the mean-reversion short-term interest rate model—such as the CKLS (Chan, Karolyi, Longstaff, and Sanders) model—to describe the dynamic characteristics of future short-term i...
Gorde:
| Egile Nagusiak: | , , , , |
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| Formatua: | Artigo |
| Hizkuntza: | Inglês |
| Argitaratua: |
Elsevier
2024-05-01
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| Saila: | Heliyon |
| Gaiak: | |
| Sarrera elektronikoa: | http://www.sciencedirect.com/science/article/pii/S2405844024062376 |
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