Dynamic estimation of an interest rate structure in Colombia : empirical analysis using the Kalman filter
Alternative title: | Dinámica de una estructura de tipos de interés en Colombia |
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Year of publication: |
December 2014
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Authors: | Castaño, Rogelio Maldonado ; Rueda, Natalia Zapata ; Robayo, Javier Orlando Pantoja |
Published in: |
Journal of economics, finance & administrative science. - Bingley : Emerald Publishing Limited, ISSN 2218-0648, ZDB-ID 2538461-2. - Vol. 19.2014, 37, p. 70-77
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Subject: | Term structure | Kalman filter | Dynamic estimation | Zustandsraummodell | State space model | Zinsstruktur | Yield curve | Kolumbien | Colombia | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Zusammenfassung in spanischer Sprache |
Other identifiers: | 10.1016/j.jefas.2014.07.001 [DOI] hdl:10419/179750 [Handle] |
Classification: | G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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