State space approach to the term structure of interest rates

DOI10.1080/00207728708964018MaRDI QIDQ4721040zbMATH OpenOpenAlexFDO

Authors L. Figliuoli, Paolo Caravani

Publication date 1987

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728708964018

zbMATH Keywords

state space modelterm structureliquidity preferencepreferred habitat

Mathematics Subject Classification ID

Economic growth models (91B62) Optimal stochastic control (93E20)

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Cites work

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• A Note on Serial Correlation Bias in Estimates of Distributed Lags
• Convergence analysis of parametric identification methods
• Dynamic Programming Under Uncertainty with a Quadratic Criterion Function
• Linear multivariable control. A geometric approach
• Optimal Properties of Exponentially Weighted Forecasts
• Prediction error identification methods for stationary stochastic processes
• RADIAL EIGENFUNCTIONS FOR THE ELASTIC CIRCULAR CYLINDER

Cited in

(3)

• Term structure modeling and estimation in a state space framework.
• On the role of state variables in interest rates models
• scientific article; zbMATH DE number 850209 (Why is no real title available?)

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