Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model
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- Robert Elliott & Rogemar Mamon, 2002. "An interest rate model with a Markovian mean reverting level," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 454-458.
- Radkov, Petar, 2010. "An interest rate model with Markov chain volatility level," MPRA Paper 60179, University Library of Munich, Germany.
- Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 87-107, March.
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Keywordsfiltering; hidden Markov models; interest rate models; EM algorithm;
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