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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.
Research output not available from this repository, contact author.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 | ||||
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| Subjects: | H Social Sciences > HG Finance H Social Sciences > HC Economic History and Conditions |
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| Journal or Publication Title: | JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | ||||
| Publisher: | UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION | ||||
| ISSN: | 0022-1090 | ||||
| Official Date: | March 1999 | ||||
| Dates: |
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| 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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