Time-Consistent No-Arbitrage Models of the Term Structure
收藏NBER2003-01-01 更新2025-01-04 收录
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https://www.nber.org/papers/w9458
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We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact that the
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美国国家经济研究局创建时间：
2003-01-01
