Pricing factors in multiple-term structures from interbank rates
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DOI: 10.1016/j.jimonfin.2018.11.008
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More about this item
Keywords
Basis swaps; Multiple-term structures; Default risk;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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