Estimation of affine term structure models under the Milstein approximation
Hail Park
| Year of publication: |
2014
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|---|---|
| Authors: | Park, Hail |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 21.2014, 7/9, p. 651-656
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| Subject: | affine term structure model | Milstein approximation | Kalman filter | conditional moment | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Zustandsraummodell | State space model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010414746