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On filtering in Markovian term structure models (an approximation approach)
Chiarella, Carl; Pasquali, Sara; Runggaldier, Wolfgang J. - 2001
Persistent link: https://www.econbiz.de/10001732804
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Transformation of Heath-Jarrow-Morton models to Markovian systems
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951349
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The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951350
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Estimating the term structure of volatility in futures yield : a maximum likelihood approach
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951352
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Construction of zero-coupon yield curve from coupon bond yield using Australian data
Bhar, Ramaprasad; Chiarella, Carl - 1996
Persistent link: https://www.econbiz.de/10000985675
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Estimating the term structure of volatility in bond prices by use of Kalman filter methodology
Bhar, Ramaprasad - In: Advances in Pacific Basin financial markets 3 (1997), pp. 243-256
Persistent link: https://www.econbiz.de/10001243735
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Transformation of Heath-Jarrow-Morton models to Markovian systems
Bhar, Ramaprasad - In: The European journal of finance 3 (1997) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10001219148
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Approximating Heath-Jarrow-Morton non-Markovian term structure of interest rate models with Markovian systems
Bhar, Ramaprasad; Chiarella, Carl - 2000
Persistent link: https://www.econbiz.de/10001730596
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A maximum likelihood approach to estimation of Heath-Jarrow-Morton models
Bhar, Ramaprasad; Chiarella, Carl; Tô, Thuy-duong - 2002
Persistent link: https://www.econbiz.de/10001867285
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A multifactor model of credit spreads
Bhar, Ramaprasad; Handzic, Nedim - In: Asia-Pacific financial markets 18 (2011) 1, pp. 105-127
Persistent link: https://www.econbiz.de/10009237746