Econometric analysis of a continuous time multi-factor generalized vasicek term structure model: International evidence

Asia-Pacific Financial Markets

Volumn 5, Issue 2, 1998, Pages 159-183

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

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

Kalman filtering; Measurement errors; State space model; Term structure

Indexed keywords

EID: 54749144624     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010086132390     Document Type: Article

References (24)

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