Phenomenology of the term structure of interest rates with Padé approximants

DOI10.1016/S0378-4371(01)00320-XzbMath0972.91056arXivcond-mat/9901096MaRDI QIDQ5945409

I. Platten, Jean Nuyts

Publication date: 10 October 2001

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9901096

zbMATH Keywords

distribution momentsfinance attempts

Mathematics Subject Classification ID

Related Items (2)

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Uses Software

• bootstrap

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Approximants de Padé
• An Intertemporal General Equilibrium Model of Asset Prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• THE DISTRIBUTION OF RETURNS OF STOCK PRICES
• Phenomenology of the interest rate curve
• Power laws in economics and finance: some ideas from physics
• An equilibrium characterization of the term structure
• Power laws of wealth, market order volumes and market returns
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