The term structure of interest rates is embedded in the macro-economic system and is related to various economic factors. For this reason, Langetieg [36] proposes a model that can accommodate an arbitrary number of economic variables. The model is essentially an extension of Vasicek’s term structure model [50], studied in Chapter 1, with multiple sources of uncertainty.
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© 2004 Simona Svoboda
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Svoboda, S. (2004). Langetieg’s Multi-Factor Equilibrium Framework. In: Interest Rate Modelling. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9781403946027_5
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DOI: https://doi.org/10.1057/9781403946027_5
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