Parameter estimation of parabolic type factor model and empirical study of US treasury bonds

IFIP International Federation for Information Processing

Volumn 199, Issue , 2006, Pages 207-217

  Aihara, S I ^a   Bagchi, A ^b  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

^b UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

Factor model; Maximum likelihood estimate; MLE; Stochastic parabolic equation; US bonds

Indexed keywords

EID: 33845531507     PISSN: 15715736     EISSN: None     Source Type: Book Series    
DOI: 10.1007/0-387-33006-2_19     Document Type: Article

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