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Ka Kit

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07 Aug 2012 Kalman Filter Application Vasicek Estimates the parameters of the Vasicek model on a generated term structure Author: Nils Delava

Hi Nils,
The logic of your program is very clear but I still have few questions. Hope you can give me some hints.

1. Why did you use VarY in step 5 but not the variance of the short rate?

2. In eqn c.11, why the first term is missed comparing to the eqn.76 in the paper?

3. How did you deal with the R matrix?

Do you have an updated file? If yes, could you upload the file or send a copy to me?

Thanks in advance!

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