Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)

Realdon, M

Realdon, M (corresponding author), Brunel Univ London, Econ & Finance Dept, Kingstone Lane, London UB8 3PH, England.

QUANTITATIVE FINANCE, ; ():

Abstract

The tractability of discrete time affine term structure models (DTATSM) is fully preserved when adding squared Gaussian shocks (SGS) to factor process......

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