STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL (Q6182052)
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scientific article; zbMATH DE number 7793173
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| English | STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL |
scientific article; zbMATH DE number 7793173 |
Statements
STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL (English)
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23 January 2024
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forward curve
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yield curve
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term structure
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Vašíček model
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interest rates
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envelope
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winding number
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0.8834993243217468
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0.779584527015686
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0.7635009288787842
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0.7497333288192749
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