Browsing by Subject "Kalman filter"

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Browsing by Subject "Kalman filter"

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  • An interpretation of an Affine term structure model for Chile 
    Ochoa, J. Marcelo (2006-12)
    This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for ....