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Kalman Filter Application Vasicek 1.0
File ID: 80545






Kalman Filter Application Vasicek 1.0
Download Kalman Filter Application Vasicek 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 10.0 KB
Downloads: 13
Submit Rating:
Kalman Filter Application Vasicek 1.0 Description
Description: 3 .m files, 1) simulates a term structure using the vasicek model, 2-3) take this simulation and estimates the parameters of the model.

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

License: Freeware

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

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

File Size: 10.0 KB

Downloads: 13



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