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The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques

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File URL: http://www.finance.uts.edu.au/research/wpapers/wp54.pdf
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Paper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 54.

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Length: 35 pages
Date of creation: 01 Dec 1995
Date of revision:
Publication status: Published as: Bhar, R. and Chiarella, C., 1997, "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques", in H. Amman et al (eds) Computational Approaches to Economic Problems, Kluwer Academic Publishers, 113-126.
Handle: RePEc:uts:wpaper:54
Contact details of provider: Postal: PO Box 123, Broadway, NSW 2007, Australia
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.uts.edu.au/about/uts-business-school/finance

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  1. Peter Ritchken & L. Sankarasubramanian, 1995. "Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 55-72.
  2. Bhar, R. & Hunt, D.F., 1993. "Predicting the Short Term Forward Interest Rate Structure Using a Parsimonious Model," Papers e9307, Western Sydney - School of Business And Technology.
  3. Andrew Carverhill, 1994. "When Is The Short Rate Markovian?," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 305-312.
  4. Andrew W. Lo, . "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," Rodney L. White Center for Financial Research Working Papers 15-86, Wharton School Rodney L. White Center for Financial Research.
  5. Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
  7. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
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