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Kalman Filter Application two factor CIR 1.0
File ID: 80680






Kalman Filter Application two factor CIR 1.0
Download Kalman Filter Application two factor CIR 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 41.0 KB
Downloads: 18
Submit Rating:
Kalman Filter Application two factor CIR 1.0 Description
Description: 2 .m files, 3 xls files with data from German, US, UK zero coupon bonds.
Files estimate the parameters on these bonds, the optimizer doesn't really work that well for this problem, so if some-one has a solution, please let me know.

For details of methodology 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, 27493

License: Freeware

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

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

File Size: 41.0 KB

Downloads: 18



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