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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.

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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
Official Date: March 1999
Dates:
DateEvent
March 1999UNSPECIFIED
Volume: 34
Number: 1
Number of Pages: 16
Page Range: pp. 115-130
Publication Status: Published

Data sourced from Thomson Reuters' Web of Knowledge

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