What Drives Short Rate Dynamics? A Functional Gradient Descent Approach

Francesco Audrino

Computational Economics, 2012, vol. 39, issue 3, 315-335

Keywords: Functional gradient descent; Short rate process; Macroeconomic variables; Time-varying drift and volatility dynamics; C14; C52; E43; E44; E47 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10614-011-9310-y

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