Long memory affine term structure models
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Publication:898585
DOI10.1016/j.jeconom.2015.09.006zbMath1390.91308OpenAlexW3121198223MaRDI QIDQ898585
Paolo Zaffaroni, Adam Goliński
Publication date: 18 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://eprints.whiterose.ac.uk/99262/1/paper_6Sept2015.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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