The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques

Ram Bhar and Carl Chiarella
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Ram Bhar: School of Banking and Finance, University of New South Wales

No 54, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Pages: 35 pages
Date: 1995-12-01
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Citations: View citations in EconPapers (11)

Published as: Bhar, R. and Chiarella, C., 1997, "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques", in H. Amman et al (eds) Computational Approaches to Economic Problems, Kluwer Academic Publishers, 113-126.

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