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Kalman Filter Application two factor CIR 1.0

  Date Added: September 02, 2013  |  Visits: 251

Kalman Filter Application two factor CIR

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2 .m files, 3 xls files with data from German, US, UK zero coupon bonds.Files estimate the parameters on these bonds, the optimizer doesn't really work that well for this problem, so if some-one has a solution, please let me know.For details of methodology 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.thanks Bill, 27493

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

License: Freeware Size: 40.96 KB
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