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Driessen, J. J. A. G., Klaassen, P., & Melenberg, B. (2003). The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions. Journal of Financial and Quantitative Analysis, 38(3), 635-672. https://doi.org/10.2307/4126735
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Driessen, J. J. A. G., Melenberg, B., & Nijman, TH. E. (2003). Common Factors in International Bond Returns. Journal of International Money and Finance, 22(5), 629-656. https://doi.org/10.1016/S0261-5606(03)00046-9
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