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2017•SSRN Electronic JournalOpen access

Calibration of Short Rate Term Structure Models from Bid-Ask Coupon Bond Prices

Erika Gomes-Gonçalves, Henryk Gzyl, Silvia Mayoral Blaya

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Key concepts: Coupon, Term (time), Bond, Calibration, Short rate, Econometrics, Bond valuation, Economics

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