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- W2364623218 abstract "In this paper we make use of the data obtained from the China-inter-bank market and estimate the parameters of the stochastic model and the general regime-switching model. We compare the estimation results under the two models and find that GRS model have more power to describe the behavior of the short-term interest rates in the whole sample period, and have more power to predict the future volatility behavior in the out-of sample period, while SV model can predict the future interest rates much more accurate in the out-of sample period." @default.
- W2364623218 created "2016-06-24" @default.
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- W2364623218 date "2005-01-01" @default.
- W2364623218 modified "2023-09-23" @default.
- W2364623218 title "A Comparative Study between SV Model and GRS Model in the China-inter-bank Market" @default.
- W2364623218 hasPublicationYear "2005" @default.
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