Estimation of one-, two- and three-factor generalized Vasicek term structure models for Japanese interest rates using monthly panel data
Author:
Affiliation:
1. a Department of Finance and Business Law and Centre for Finance and Financial Services , Westminster Business School, University of Westminster , London, NW1 5LS, UK
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/09603107.2011.562165
Reference16 articles.
1. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
2. An application of generalized Vasicek term structure models to the UK gilt-edged market: a Kalman filtering analysis
3. Kalman Filtering of Generalized Vasicek Term Structure Models
4. Estimating and Testing Linear Models with Multiple Structural Changes
5. Computation and analysis of multiple structural change models
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