Estimating term structure models with the kalman filter

Marcel Prokopczuk*, Yingying Wu

*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceedingChapterpeer-review

1 Citation (Scopus)
Original languageEnglish
Title of host publicationHandbook of Research Methods and Applications in Empirical Finance
PublisherEdward Elgar Publishing
Pages97-113
Number of pages17
ISBN (Print)9780857936080
DOIs
Publication statusPublished - 30 Apr 2013
Externally publishedYes

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