Kalman filtering of Generalized Vasicek term structure models
Simon H. Babbs and K. Ben Nowman
| Year of publication: |
1999
|
|---|---|
| Authors: | Babbs, Simon H. ; Nowman, Kalid Ben |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 34.1999, 1, p. 115-130
|
| Subject: | Zinsstruktur | Yield curve | Theorie | Theory | Zustandsraummodell | State space model | Schätzung | Estimation | USA | United States | 1987-1996 |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of financial and quantitative analysis |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001436345