State-space of the Vasicek model for long-term bonds with Kalman filter
Year of publication: |
2023
|
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Authors: | Mawonike, Romeo ; Ikpe, Dennis ; Gyamerah, Samuel Asante |
Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 10.2023, 2, Art.-No. 2250038, p. 1-28
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Subject: | interest rate | Kalman filter | Short rate | state-space | Vasicek model | Zustandsraummodell | State space model | Zinsstruktur | Yield curve | Zins | Interest rate | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Anleihe | Bond | Schätzung | Estimation |
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