State space approach to the term structure of interest rates

DOI10.1080/00207728708964018zbMath0613.90011OpenAlexW2019873772MaRDI QIDQ4721040

L. Figliuoli, Paolo Caravani

Publication date: 1987

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728708964018

zbMATH Keywords

term structurestate space modelliquidity preferencepreferred habitat

Mathematics Subject Classification ID

Economic growth models (91B62) Optimal stochastic control (93E20)

Cites Work

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• Dynamic Programming Under Uncertainty with a Quadratic Criterion Function
• Optimal Properties of Exponentially Weighted Forecasts
• Prediction error identification methods for stationary stochastic processes
• Convergence analysis of parametric identification methods
• RADIAL EIGENFUNCTIONS FOR THE ELASTIC CIRCULAR CYLINDER
• A Note on Serial Correlation Bias in Estimates of Distributed Lags

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