Journal article 569 views
Gaussian models for Euro high grade government yields
Marco Realdon
The European Journal of Finance, Volume: 23, Issue: 15, Pages: 1468 - 1511
Swansea University Author: Marco Realdon
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DOI (Published version): 10.1080/1351847X.2016.1173082
Abstract
Gaussian models for Euro high grade government yields
| Published in: | The European Journal of Finance |
|---|---|
| ISSN: | 1351-847X 1466-4364 |
| Published: |
2017
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa35444 |
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| Keywords: |
affine Gaussian models, quadratic Gaussian models, Black model, vertical method oflines, sequential splitting, quasi-maximum likelihood, extended Kalman filter |
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| Issue: |
15 |
| Start Page: |
1468 |
| End Page: |
1511 |