Numerical study on a type I error of a random walk hypothesis on interest rates

zbMATH Open1239.91176MaRDI QIDQ2888705FDOQ2888705

Authors: Nien-Lin Liu 

Publication date: 4 June 2012

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Cited In (1)

• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis

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