Kalman Filter Application Vasicek

Version 1.0.0.0 (2.88 KB) by Nils Delava
Estimates the parameters of the Vasicek model on a generated term structure
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Updated 20 May 2010

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3 .m files, 1) simulates a term structure using the vasicek model, 2-3) take this simulation and estimates the parameters of the model.

If the implementation is good, the inputs should equal the outputs, run this 200 times.

For details see;

http://www.bankofcanada.ca/en/res/wp/2001/wp01-15a.pdf
and/or
Ren-Raw Chen and Louis Scott, “Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model,” The Journal of Real Estate Finance and Economics 27, no. 2 (2003): 143-172.
etc.

Please comment or leave suggestions.

Cite As

Nils Delava (2024). Kalman Filter Application Vasicek (https://www.mathworks.com/matlabcentral/fileexchange/27685-kalman-filter-application-vasicek), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Kalman Filter Application

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Version Published Release Notes
1.0.0.0