EconPapers    
Economics at your fingertips  
 

Estimating term structure models with the Kalman filter

Marcel Prokopczuk () and Yingying Wu

Chapter 4 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 97-113 from Edward Elgar Publishing

Abstract: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

Keywords: Economics and Finance; Research Methods (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.elgaronline.com/view/9780857936080.00011.xml (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:elg:eechap:14545_4

Ordering information: This item can be ordered from
http://www.e-elgar.com

Access Statistics for this chapter

More chapters in Chapters from Edward Elgar Publishing
Bibliographic data for series maintained by Darrel McCalla ().

 
Page updated 2021-10-18
Handle: RePEc:elg:eechap:14545_4