The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques

A fairly flexible functional form for the forward rate volatility is applied in the Heath-Jarrow-Morton model of the term structure of interest rates to reduce the system dynamics to Markovian form. The resulting stochastic dynamic system is cast into a form suitable for estimation by use of nonlinear filtering methodology. The technique is applied to 90-day bank bill and 3-year treasury bond data in the Australian market

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Year of publication:	[2008]
Authors:	Bhar, Ramaprasad
Other Persons:	Chiarella, Carl (contributor)
Publisher:	[2008]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (23 p)
Series:	U. of Technology, Sydney Finance and Economics Working Paper ; No. 54
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1995 erstellt
Other identifiers:	10.2139/ssrn.882664 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012727226