The term structure of interest rates in a hidden markov setting

International Series in Operations Research and Management Science

Volumn 104, Issue , 2007, Pages 15-30

  Elliott, Robert J ^a   Wilson, Craig A ^b  

^a UNIVERSITY OF CALGARY   (Canada)

^b UNIVERSITY OF SASKATCHEWAN   (Canada)

Author keywords

Filtering; Interest rate modeling; Markov chain; Term structure

Indexed keywords

EID: 84955157078     PISSN: 08848289     EISSN: None     Source Type: Book Series    
DOI: None     Document Type: Chapter

References (10)

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