A Semiparametric Two-Factor Term Structure Model.
This article proposes a semiparametric two-factor term structure model based on a consol rate and the spread between a short rate and the consol rate. The diffusion functions in both the consol rate and spread processes are nonparametrically specified so that the model allows for maximal flexibility...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2006
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