Estimating and testing exponential-affine term structure models by Kalman filter

Review of Quantitative Finance and Accounting

Volumn 13, Issue 2, 1999, Pages 111-135

  Duan, Jin Chuan ^a   Simonato, Jean Guy ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b HEC MONTRÉAL   (Canada)

Author keywords

Exponential affine; Kalman filter; Quasi maximum likelihood; State space model; Term structure

Indexed keywords

EID: 1342322520     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008304625054     Document Type: Article

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