PARAMETER ESTIMATION

Ren-Raw Chen
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Ren-Raw Chen: Rutgers University, USA

Chapter 5 in Understanding and Managing Interest Rate Risks, 1996, pp 107-126 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:SIMPLE REGRESSIONOU ProcessSR ProcessSome ResultsYield Curve Fitting ExerciseMAXIMUM LIKELIHOOD ESTIMATIONMethodologySome ResultsYield Curve FittingGENERALIZED METHOD OF MOMENTSMethodologySome ResultsSTATE SPACE MODEL WITH KALMAN FILTERINGMethodologySome ResultsYield Curve FittingSUMMARY

Keywords: Interest Rate Risk; Term Structure Models; Options; Futures; Hedging; Fixed Income Securities (search for similar items in EconPapers)
Date: 1996
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