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Exponential components framework
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Instantaneous error term
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Properties of the error term
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Term structure
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Yield curve
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Fukushige, M.
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Ubukata, M.
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Mathematics and Computers in Simulation (MATCOM)
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Estimation and inference in the yield curve model with an
instantaneous
error
term
Ubukata, M.
;
Fukushige, M.
- In:
Mathematics and Computers in Simulation (MATCOM)
79
(
2009
)
9
,
pp. 2938-2946
instantaneous
error
term
generated with a standard Brownian motion. First, we add an
instantaneous
error
term
to Nelson and Siegel …
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