Kalman Filter Application Vasicek
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
Platform Compatibility
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- Signal Processing > Wavelet Toolbox > Filter Banks >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
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Acknowledgements
Inspired by: Kalman Filter Application
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Version | Published | Release Notes | |
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1.0.0.0 |