What Drives Jumps in the Secured Overnight Financing Rate? Evidence from the Arbitrage-Free Nelson–Siegel Model with Jump Diffusion

Jan 1, 2024·

Dongjie (Oliver) Fang

,

Z. W. Ye

,

J. C. He

,

Shih-Kuei Lin

· 0 min read

SSRN

Interest Rates Asset Pricing Derivatives

Authors

Dongjie (Oliver) Fang

Ph.D. Student in Business Administration (Finance)

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