A Synopsis of the Smoothing Formulae Associated with the Kalman Filter
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Other versions of this item:
- Merkus, H.R. & Pollock, D.S.G. & Vos, A.F., 1991. "A synopsis of the smoothing formulae associated with the Kalman Filter," Serie Research Memoranda 0079, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
References listed on IDEAS
- Annaert, Jan & Deelstra, Griselda & Heyman, Dries & Vanmaele, Michèle, 2007.
"Risk management of a bond portfolio using options,"
Insurance: Mathematics and Economics,
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- J. Annaert & G. Deelstra & D. Heyman & M. Vanmaele, 2007. "Risk management of a bond portfolio using options," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/465, Ghent University, Faculty of Economics and Business Administration.
- Chan, K C, et al, 1992.
" An Empirical Comparison of Alternative Models of the Short-Term Interest Rate,"
Journal of Finance,
American Finance Association, vol. 47(3), pages 1209-1227, July.
- Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Optimal Risk Management Using Options," Journal of Finance, American Finance Association, vol. 54(1), pages 359-375, February.
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