Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure
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- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
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- de Jong, Frank & Santa-Clara, Pedro, 1999. "The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 131-157, March.
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- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
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1998-141, Tilburg University, Center for Economic Research.
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- Silverio Foresi & Alessandro Penati & George Pennacchi, 1997. "Estimating the cost of U.S. indexed bonds," Working Paper 9701, Federal Reserve Bank of Cleveland.
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