Estimating term structure models with the Kalman filter
Marcel Prokopczuk and Yingying Wu
| Year of publication: |
2013
|
|---|---|
| Authors: | Prokopczuk, Marcel ; Wu, Yingying |
| Published in: |
Handbook of research methods and applications in empirical finance. - Cheltenham, UK : Edward Elgar, ISBN 978-1-78254-017-5. - 2013, p. 97-113
|
| Subject: | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897367