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Estimating term structure models with the Kalman filter

In: Handbook of Research Methods and Applications in Empirical Finance

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  • Marcel Prokopczuk
  • Yingying Wu

Abstract

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

Suggested Citation

  • Marcel Prokopczuk & Yingying Wu, 2013. "Estimating term structure models with the Kalman filter," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 4, pages 97-113, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:14545_4
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    References listed on IDEAS

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