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Three models of the term structure of interest rates

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Rhee, Joonhee (1998) Three models of the term structure of interest rates. PhD thesis, University of Warwick.

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Official URL: http://webcat.warwick.ac.uk/record=b1363703~S1

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Abstract

In this dissertation, we consider the stochastic volatility of
short rates, the jump property of short rates, and market
expectation of changes in interest rates as the crucial factors in
explaining the term structure of interest rates. In each chapter,
we model the term structure of interest rates in accordance with
these factors.

Item Type: Thesis (PhD)
Subjects: H Social Sciences > HB Economic Theory
Library of Congress Subject Headings (LCSH): Interest rates -- Econometric models
Official Date: August 1998
Dates:
DateEvent
August 1998Submitted
Institution: University of Warwick
Theses Department: Warwick Business School
Thesis Type: PhD
Publication Status: Unpublished
Supervisor(s)/Advisor: Webber, Nick
Extent: v, 181, xviii leaves
Language: eng

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