A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan
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Publication:816779
DOI10.1007/s10690-005-6021-1zbMath1125.91359OpenAlexW2112437782MaRDI QIDQ816779
Publication date: 23 February 2006
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-005-6021-1
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Cites Work
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- Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
- A Theory of the Term Structure of Interest Rates
- Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
- Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations
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