Modelling the dynamics of long-term bonds with Kalman filter
Year of publication: |
2021
|
---|---|
Authors: | Mawonike, Romeo ; Ikpe, Dennis ; Gyamerah, Samuel Asante |
Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-229X, ZDB-ID 3004039-5. - Vol. 4.2021, 3, p. 236-257
|
Subject: | short rate | Vasicek model | Kalman filter | term structure | interest rate | Zustandsraummodell | State space model | Zinsstruktur | Yield curve | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Anleihe | Bond | Schätzung | Estimation |
-
State-space of the Vasicek model for long-term bonds with Kalman filter
Mawonike, Romeo, (2023)
-
Audrino, Francesco, (2016)
-
Keller-Ressel, Martin, (2023)
- More ...
-
State-space of the Vasicek model for long-term bonds with Kalman filter
Mawonike, Romeo, (2023)
-
Weather derivatives for managing weather and climate risk in agriculture
Gyamerah, Samuel Asante, (2020)
-
On a consistent state-space bond markets model for pricing long-maturity bonds
Ikpe, Dennis, (2022)
- More ...