CONSISTENT YIELD CURVE PREDICTION (Q4563766)
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scientific article; zbMATH DE number 6880325
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CONSISTENT YIELD CURVE PREDICTION |
scientific article; zbMATH DE number 6880325 |
Statements
CONSISTENT YIELD CURVE PREDICTION (English)
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4 June 2018
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yield curve prediction
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no-arbitrage
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Heath-Jarrow-Morton type model
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volatility scaling factors and return directions
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