Identification of affine term structures from yield curve data (Q3564993)
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scientific article; zbMATH DE number 5712993
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| English | Identification of affine term structures from yield curve data |
scientific article; zbMATH DE number 5712993 |
Statements
IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA (English)
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27 May 2010
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interest rate models
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affine term structure
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forward curves
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Kalman filter
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MLE
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0.7780210375785828
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0.775892972946167
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