Parametric Estimation of Quadratic Term Structure Models of Interest Rates

H. Vincent Poor and Li Chen

No 22, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: Nonlinear Filtering; Quasi-Maximum Likelihood Estimation; Quadratic Term Structure Models (search for similar items in EconPapers)
JEL-codes: C32 C33 C51 (search for similar items in EconPapers)
Date: 2003-08-01
New Economics Papers: this item is included in nep-ecm, nep-mac and nep-rmg
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Citations: View citations in EconPapers (1)

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