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Volumn 33, Issue 3, 2004, Pages 359-374

Bond price and impulse response function for the Balduzzi, Das, Foresi and Sundaram (1996) model

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Indexed keywords

PRICE DETERMINATION;

EID: 17944382549     PISSN: 03915026     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0391-5026.2004.00136.x     Document Type: Article
Times cited : (4)

References (17)
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  • 2
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    • "A Simple Approach to Three-Factor Models of Interest Rates"
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    • (1985) Econometrica , vol.53 , pp. 385-408
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    • 0008766361 scopus 로고    scopus 로고
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    • Dai, Q.1    Singleton, K.2
  • 6
    • 0030305091 scopus 로고    scopus 로고
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  • 9
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    • E. F. Fama (1970), "Efficient Capital Markets: A Review of Theory and Empirical Work" Journal of Finance, 25, pp. 383-417.
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  • 11
    • 17944380289 scopus 로고    scopus 로고
    • "The Stochastic Jacobian in Affine Term Structure Models and its Applications"
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    • M. Grasselli - C. Tebaldi (2004a), "The Stochastic Jacobian in Affine Term Structure Models and its Applications", Working Paper, SAFE.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.