Estimating Multivariate Exponentail-Affine Term Structure Models from Coupon Bound Prices using Nonlinear Filtering

Mikkel Baadsgaard, Jan Nygaard Nielsen, Henrik Madsen

    Research output: Other contributionResearch

    245 Downloads (Orbit)

    Fingerprint

    Dive into the research topics of 'Estimating Multivariate Exponentail-Affine Term Structure Models from Coupon Bound Prices using Nonlinear Filtering'. Together they form a unique fingerprint.

    Keyphrases

    Economics, Econometrics and Finance