Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: Evidence From The Uk And Germany
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References listed on IDEAS
- Alois L. J. Geyer & Stefan Pichler, 1999. "A State‐Space Approach To Estimate And Test Multifactor Cox‐Ingersoll‐Ross Models Of The Term Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 107-130, March.
- Richard, Scott F., 1978. "An arbitrage model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 33-57, March.
- Duan, Jin-Chuan & Simonato, Jean-Guy, 1999.
"Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter,"
Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 111-135, September.
- Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter," CIRANO Working Papers 95s-44, CIRANO.
- Geyer, Alois L J & Pichler, Stefan, 1999. "A State-Space Approach to Estimate and Test Multifactor Cox-Ingersoll-Ross Models of the Term Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 107-130, Spring.
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Cited by:
- Long H. Vo, 2014. "Application of Kalman Filter on modelling interest rates," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 1-15, March.
- Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
- Christian Bauer & Sebastian Horlemann, 2016. "Modeling the Term Structure of Exchange Rate Expectations," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 303-335, November.
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Keywords
Kalman filtering; term structure;JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2004-08-16 (Econometric Time Series)
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