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Keywords: Square root process
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Journal Articles
Accumulated (integrated) interest and the square root process
Available to Purchase
Journal:
Accounting Research Journal
Accounting Research Journal (2019) 32 (4): 678–691.
Published: 04 November 2019
...Diandian Ma; Xiaojing Song; Mark Tippett; Thu Phuong Truong Purpose The purpose of this study is to determine distributional properties of the accumulated rate of interest when the instantaneous rate of interest evolves in terms of the Cox et al. (1985) square root process. Design...
