Browsing Documentos publicados nas Revistas da Fundação Getulio Vargas by Title "Approximating risk premium on a parametric arbitrage-free term structure model"
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Approximating risk premium on a parametric arbitrage-free term structure model
2014-11-14In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ...


