Estimation of dynamic term structure models
GR Duffee, RH Stanton - The Quarterly Journal of Finance, 2012 - World Scientific
We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …
modern term structure models. For sample sizes and models similar to those used in most …
[PDF][PDF] Estimation of Dynamic Term Structure Models
GR Duffee, RH Stanton - 2012 - faculty.haas.berkeley.edu
We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …
modern term structure models. For sample sizes and models similar to those used in most …
[PDF][PDF] Estimation of Dynamic Term Structure Models
GR Duffee, RH Stanton - 2012 - Citeseer
We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …
modern term structure models. For sample sizes and models similar to those used in most …
Estimation of Dynamic Term Structure Models
GR Duffee, RH Stanton - Quarterly Journal of Finance (QJF), 2012 - ideas.repec.org
We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …
modern term structure models. For sample sizes and models similar to those used in most …
[PDF][PDF] Estimation of dynamic term structure models
G Duffee - globalriskguard.com
Estimation of dynamic term structure models Page 1 Estimation of dynamic term structure
models Greg Duffee Haas School of Business, UC-Berkeley Joint with Richard Stanton, Haas …
models Greg Duffee Haas School of Business, UC-Berkeley Joint with Richard Stanton, Haas …
[PDF][PDF] Estimation of Dynamic Term Structure Models
GR Duffee, RH Stanton - scholar.archive.org
In this paper we estimate a multifactor term structure model that exhibits three key features:
correlated factors, nonlinear dynamics, and a flexible price of interest rate risk. We use this …
correlated factors, nonlinear dynamics, and a flexible price of interest rate risk. We use this …
[PDF][PDF] Estimation of dynamic term structure models
G Duffee - globalriskguard.com
Estimation of dynamic term structure models Page 1 Estimation of dynamic term structure
models Greg Duffee Haas School of Business, UC-Berkeley Joint with Richard Stanton, Haas …
models Greg Duffee Haas School of Business, UC-Berkeley Joint with Richard Stanton, Haas …
Estimation of Dynamic Term Structure Models
G Duffee, RH Stanton - Quarterly Journal of Finance (QJF), 2012 - econpapers.repec.org
We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …
modern term structure models. For sample sizes and models similar to those used in most …
[PDF][PDF] Estimation of Dynamic Term Structure Models
GR Duffee, RH Stanton - 2012 - faculty.haas.berkeley.edu
We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …
modern term structure models. For sample sizes and models similar to those used in most …
[PDF][PDF] Estimation of Dynamic Term Structure Models
GR Duffee, RH Stanton - Citeseer
We study the finite sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes similar to those used in most empirical …
modern term structure models. For sample sizes similar to those used in most empirical …