A Kalman filter approach characterizing the Canadian term structure of interest rates

Applied Financial Economics

Volumn 15, Issue 10, 2005, Pages 691-705

  Gravelle, Toni ^a   Morley, James C ^b  

^a INTERNATIONAL MONETARY FUND   (United States)

^b WASHINGTON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

INTEREST RATE; METHODOLOGY;

CANADA; NORTH AMERICA; WESTERN HEMISPHERE; WORLD;

EID: 22144474051     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100500107917     Document Type: Article

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