An online estimation scheme for a Hull–White model with HMM-driven parameters
| Year of publication: |
2009
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|---|---|
| Authors: | Erlwein, Christina ; Mamon, Rogemar |
| Published in: |
Statistical Methods and Applications. - Springer, ISSN 1618-2510. - Vol. 18.2009, 1, p. 87-107
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| Publisher: |
Springer |
| Subject: | Regime-switching | Markov model | Interest rate dynamics | Mean-reversion | Filtering | Optimal parameter estimation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005147130