most citedMultivariate Feller conditions in term structure models: Why do(n't) we care?

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q-fin.ST2008★ 2 cited

Multivariate Feller conditions in term structure models: Why do(n't) we care?

Peter Spreij, Enno Veerman, Peter Vlaar

In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuou…