Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter
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- 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.
References listed on IDEAS
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KeywordsTerm Structure; Kalman Filter; Exponential Affine; State Space Model; Quasi Maximum Likelihood; Lagrange Multiplier Test; Structure à Terme; Filtre de Kalman; Exponentielle-affine; Modèle State-Space; Quasi-maximum de vraisemblance; Test du Multiplicateur de Lagrange;
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