Nowman, K. Ben - In: Applied Financial Economics 21 (2011) 14, pp. 1069-1078
In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models using Japanese yield curve panel data over the important period 2000 to 2010. The state space form of the model is presented and the Kalman filter applied. The empirical results provide support for...