Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: The Case Of Uk And Germany
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- repec:bla:jfnres:v:22:y:1999:i:1:p:107-130 is not listed on IDEAS
- Durham, Garland B & Gallant, A Ronald, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 335-338, July.
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- 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.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-01-23 (All new papers)
- NEP-ETS-2005-01-23 (Econometric Time Series)
- NEP-FIN-2005-01-23 (Finance)
- NEP-MON-2005-01-23 (Monetary Economics)
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