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An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices, Journal of Econometrics
Ravi Jagannathan, Andrew Kaplin, Steve Guoqiang Sun
Jagannathan, Ravi, Andrew Kaplin, and Steve Guoqiang Sun. 2003. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. Journal of Econometrics. 116(1-2): 113-146.
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