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Kalman filtering of generalized Vasicek term structure models
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UNSPECIFIED. (1999) Kalman filtering of generalized Vasicek term structure models. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 34 (1). pp. 115-130. ISSN 0022-1090
Full text not available from this repository.Abstract
We present a subclass of Langetieg's (1980) linear Gaussian models of the term structure. The bond price is derived in terms of a finite set of state variables with correlated innovations. The subclass contains a reformulation of the double-decay model of Beaglehole and Tenney (1991), enabling us to clarify interpretation of their parameters. We apply Kalman filtering to a state space formulation of the model, allowing measurement errors in the data. One-, two-, and three-factor models are estimated an U.S. data from 1987-1996 and the results indicate the subclass of models can fit the U.S. term structure.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HC Economic History and Conditions |
| Journal or Publication Title: | JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS |
| Publisher: | UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION |
| ISSN: | 0022-1090 |
| Date: | March 1999 |
| Volume: | 34 |
| Number: | 1 |
| Number of Pages: | 16 |
| Page Range: | pp. 115-130 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/14760 |
Data sourced from Thomson Reuters' Web of Knowledge
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