Asymmetric Mean Reversion in European Interest Rates: A Two-factor Model
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/13518470701705728
Reference30 articles.
1. The linkage of interest rates within the EMS
2. Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate
3. A comprehensive analysis of the short-term interest-rate dynamics
4. The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence
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