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Nonlinear Drift And Stochastic Volatility: An Empirical Investigation Of Short-Term Interest Rate Models. (2003). Sun, Licheng.
In: Journal of Financial Research.
RePEc:bla:jfnres:v:26:y:2003:i:3:p:389-404.

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  1. Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models. (2014). Muteba Mwamba, John Weirstrasd ; Uwilingiye, Josine ; Thabo, Lethaba .
    In: MPRA Paper.
    RePEc:pra:mprapa:64386.

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  2. Value-at-risk in a market subject to regime switching. (2007). Kijima, Masaaki ; Kawata, Ryohei.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:7:y:2007:i:6:p:609-619.

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  3. A positive interest rate model with sticky barrier. (2007). Кабанов, Юрий ; Kijima, Masaaki ; Kabanov, Yuri ; Rinaz, Sofiane.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:7:y:2007:i:3:p:269-284.

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  4. Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates. (2005). Chan, Kam Fong.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:45:y:2005:i:4:p:537-551.

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  5. The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach. (2004). Chiarella, Carl ; Hung, Hing ; Runggaldier, Wolfgang ; Bhar, Ram.
    In: Finance.
    RePEc:wpa:wuwpfi:0409002.

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  1. Taylor S. J., 1986. Modelling Financial Time Series
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