A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Laurini, Márcio Poletti & Ohashi, Alberto, 2015.
"A noisy principal component analysis for forward rate curves,"
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Elsevier, vol. 246(1), pages 140-153.
- Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
- Lee, Kiseop & Xu, Mingxin, 2007. "Parameter estimation from multinomial trees to jump diffusions with k means clustering," MPRA Paper 3307, University Library of Munich, Germany, revised 26 Apr 2007.
More about this item
Keywordsterm structure; heath-jarrow-morton; time-deterministic forward volatility; humped forward volatility model; full information maximum likelihood;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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