State space decomposition and classification of term structure shapes in the two-factor vasicek model
Year of publication: |
2023
|
---|---|
Authors: | Keller-Ressel, Martin ; Sachse, Felix |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 4/5, Art.-No. 2350013, p. 1-38
|
Subject: | envelope | Forward curve | interest rates | term structure | Vasicek model | winding number | yield curve | Zinsstruktur | Yield curve | Schätzung | Estimation | Theorie | Theory | Zustandsraummodell | State space model |
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