Analysis of drawdowns and drawups in the US$ interest-rate market
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Cites work
- A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
- Affine models with stochastic market price of risk
- Bootstrap methods: another look at the jackknife
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- scientific article; zbMATH DE number 3782216 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION
- The Distribution Theory of Runs
- The estimation of a nonlinear moving average model
- The likelihood function of stationary autoregressive-moving average models
Cited in
(4)- Characterization of large price variations in financial markets
- Stochastic modeling and fair valuation of drawdown insurance
- Evidence for state transition and altered serial codependence in US$ interest rates
- The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
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