Kalman filtering of generalized Vasicek term structure models
UNSPECIFIED (1999) Kalman filtering of generalized Vasicek term structure models. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 34 (1). pp. 115-130. ISSN 0022-1090Full text not available from this repository.
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|
|Number of Pages:||16|
|Page Range:||pp. 115-130|
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