Kalman filtering of generalized Vasicek term structure models

Journal of Financial and Quantitative Analysis

Volumn 34, Issue 1, 1999, Pages 115-130

  Babbs, Simon H ^a   Nowman, K Ben ^b  

^a First National Bank of Chicago   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039164096     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2676248     Document Type: Article

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