An online estimation scheme for a Hull–White model with HMM-driven parameters

Christina Erlwein () and Rogemar Mamon ()

Statistical Methods & Applications, 2009, vol. 18, issue 1, 87-107

Keywords: Regime-switching; Markov model; Interest rate dynamics; Mean-reversion; Filtering; Optimal parameter estimation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s10260-007-0082-4

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