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2019•Computational StatisticsRequires access

Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate

Tianshun Yan, Yanyong Zhao, Wentao Wang

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Key concepts: Estimator, Jump, Econometrics, Jump diffusion, Term (time), Volatility (finance), Interest rate, Estimation

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Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate — Research Paper | ScholarLens