Fitting yield curve models using the Kalman filter
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Publication:5892243
DOI10.1002/PAMM.200310523zbMATH Open1354.93157OpenAlexW2125499316MaRDI QIDQ5892243FDOQ5892243
Authors:
Publication date: 25 January 2017
Published in: PAMM (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/pamm.200310523
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Cites Work
Cited In (12)
- Parameter uncertainty in Kalman-Filter estimation of the CIR term-structure model
- Title not available (Why is that?)
- The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques
- On the parameter estimation in the Schwartz-Smith's two-factor model
- Title not available (Why is that?)
- Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence
- Filtering and identification of parabolic type factor model with stochastic volatility
- Exploring decline curve residual modeling using Kalman filter
- Value-at-risk for fixed-income portfolios: a Kalman filtering approach
- Consistent recalibration of yield curve models
- Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
- Title not available (Why is that?)
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