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What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion. (2024). Yeh, Zong-Wei ; Lin, Shih-Kuei ; He, Jie-Cao ; Fang, Dong-Jie.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001434.

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