Work

Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter

Year: 1999

Type: article

Source: Review of Quantitative Finance and Accounting

DOI: 10.1023/a:1008304625054

Authors: Jin-Chuan Duan, Jean-Guy Simonato

Institutions: Hong Kong University of Science and Technology, HEC Montréal

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: McGill University, University of Hong Kong, Chinese University of Hong Kong

OpenAlex ID: W1527363857

FWCI: 6.198

Cites: 37

Cited by: 268

Related to: 10