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Estimation of Shadow-Rate Term Structure Models Near the Zero-Lower Bound
Though it is customary to use standard Gaussian term structure models for term structure modelling, this becomes theoretically implausible in cases when nominal interest rates are near zero: Gaussian models can have arbitrarily large negative rates, whereas arbitrage considerations dictate that rate...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2020
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