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Original Articles

The ECU term structure of interest rates

Pages 194-197 | Published online: 23 Mar 2012

References

  • Babbs , S.H. and Nowman , K.B. 1999 . Kalman filtering of generalized vaslcek term structure models . Journal of Financial and Quantitative Analysis , 34 : 115 – 130 .
  • Langetieg , T.C. 1980 . A multivariate model of the term structure . Journal of Finance , 35 : 71 – 91 .

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