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Kalman Filter Application Vasicek 1.0

  Date Added: March 22, 2013  |  Visits: 271

Kalman Filter Application Vasicek

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3 .m files, 1) simulates a term structure using the vasicek model, 2-3) take this simulation and estimates the parameters of the model.If the implementation is good, the inputs should equal the outputs, run this 200 times.For details see;http://www.bankofcanada.ca/en/res/wp/2001/wp01-15a.pdfand/orRen-Raw Chen and Louis Scott, d-deDUMulti-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model,d-deDt The Journal of Real Estate Finance and Economics 27, no. 2 (2003): 143-172.etc.Please comment or leave suggestions

Requirements: No special requirements
Platforms: Matlab
Keyword: Comment Coxingersollross Economics Estate Estimates Etcplease Filter Finance Journal Kalman Leave Louis Model Models Multifactor Scott Simulation Structure Suggestions Tests
Users rating: 0/10

License: Freeware Size: 10 KB
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