A Monte Carlo filtering approach for estimating the term structure of interest rates: Special Issue on Nonlinear Non-Gaussian Models and Related Filtering Methods

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Bibliographic Details
Published in:Annals of the Institute of Statistical Mathematics 2001, Vol.53 (1), p.50-62
Main Authors: TAKAHASHI, Akihiko, SATO, Seisho
Format: Article
Language:English
Subjects:
Applications
Exact sciences and technology
Inference from stochastic processes
time series analysis
Insurance, economics, finance
Mathematics
Probability and statistics
Sciences and techniques of general use
Statistics
Online Access:Get full text
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ISSN:0020-3157
1572-9052