Indirect Robust Estimation of the Short-term interest Rate Process
Year of publication: |
2005-03
|
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Authors: | Czellar, Veronika ; Karolyi, G. Andrew ; Ronchetti, Elvezio |
Institutions: | Swiss Finance Institute |
Subject: | GMM and RGMM estimators | CKLS one factor model | indirect inference |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications |
Source: |
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Indirect Robust Estimation of the Short-term Interest Rate Process;
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Indirect Robust Estimation of the Short-term Interest Rate Process
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