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"Linear Gaussian affine term structure models with unobservable factors: ..."

Paresh Date, Chieh Wang (2009)

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DOI: 10.1016/J.EJOR.2008.01.035

access: closed

type: Journal Article

metadata version: 2020-02-21

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Paresh Date, Chieh Wang:
Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting. Eur. J. Oper. Res. 195(1): 156-166 (2009)

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