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Kalman Filter Application CIR 1.0
File ID: 82014






Kalman Filter Application CIR 1.0
Download Kalman Filter Application CIR 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 20.5 KB
Downloads: 16
Submit Rating:
Kalman Filter Application CIR 1.0 Description
Description: 3 .m files, 1) simulates a term structure using the CIR model, 2-3) take this simulation and estimates the parameters of the model.
also includes a set of results, take mean() and std() of this to see how good the filter is.

If the implementation is good, the inputs should equal the outputs, run this 200 times.

For details see;

http://www.bankofcanada.ca/en/res/wp/2001/wp01-15a.pdf
and/or
Ren-Raw Chen and Louis Scott, d-deDUMulti-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model,d-deDt The Journal of Real Estate Finance and Economics 27, no. 2 (2003): 143-172.
etc.

Please comment or leave suggestions.
thanks bill, submission #27493 is included in the BSD

License: Freeware

Related: Tests, kalman, Filter, Model, estimates, Structure, multifactor, coxingersollross, Models, journal, Estate, suggestionsthanks, Submission, included, leave, Comment, Finance, economics, etcplease

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 20.5 KB

Downloads: 16



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