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Interest Rate Volatility and Equilibrium Models of the Term Structure: Empirical Evidence
history of zero coupon bonds (strips) from the U.S. government securities market. Although the CIR model ... explain yield curve volatility behavior. 200 TABLE OF CONTENTS I. INTRODUCTION . . . . . . . .- Authors: Marc A Godin
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling