Fitting yield curve models using the Kalman filter

DOI10.1002/PAMM.200310523MaRDI QIDQ5892243zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure

Cited in

(12)

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• 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
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