Testing for the diffusion matrix in a continuous-time markov process model with applications to the term structure of interest rates
Year of publication: |
2021
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Authors: | Li, Fuchun |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 5, p. 789-822
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Subject: | diffusion matrix | continuous-time Markov process model | affine term structure model | Zinsstruktur | Yield curve | Markov-Kette | Markov chain | Schätztheorie | Estimation theory |
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