Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm
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Publisher
Springer Berlin Heidelberg
Link
http://link.springer.com/content/pdf/10.1007/978-3-662-04790-3_10
Reference19 articles.
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3. Bergstrom, A. (1990): Continuous time econometric modelling,Oxford University Press.
4. Bhar, R. and Chiarella, C. (1997): Transformation of Heath-Jarrow-Morton models to Markovian systems European Jounal of Finance 3, 1–26.
5. Brenner, R., Harjes, R. and Kroner, K. (1996): Another look at models of the short-term interest rate. Journal of Financial and Quantitative Analysis 31, 85–107.
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