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Term structure modeling and estimation in a state space framework
Lemke, Wolfgang - 2005
Persistent link: https://www.econbiz.de/10003000929
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Asset pricing : modeling and estimation ; with 30 tables
Kellerhals, Boris-Philipp - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001857154
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Multi-factor Cox-Ingersoll-Ross models of the term structure : estimates and tests from a Kalman filter model
Chen, Ren-Raw; Scott, Louis O. - In: The journal of real estate finance and economics 27 (2003) 2, pp. 143-172
Persistent link: https://www.econbiz.de/10001788887
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Financial pricing models in continuous time and Kalman filtering
Kellerhals, Boris-Philipp; Kellerhals, Boris Philipp - 2001
Persistent link: https://www.econbiz.de/10001591594
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 1943-1978
Persistent link: https://www.econbiz.de/10001523883
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The pruned state-space system for non-linear DSGE models : theory and empirical applications
Andreasen, Martin Møller; Fernández-Villaverde, Jesús; … - 2016
Persistent link: https://www.econbiz.de/10011661488
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State space decomposition and classification of term structure shapes in the two-factor vasicek model
Keller-Ressel, Martin; Sachse, Felix - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-38
Persistent link: https://www.econbiz.de/10014497221
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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003851230
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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003875669