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Kalman Filter Application Vasicek

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important script information
company name:
Nils Delava
license: Free
minimum requirements: MATLAB 7.7 (R2008b)
functional limitations:
Kalman Filter Application Vasicek description
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.pdfand/orRen-Raw Chen and Louis Scott, d-deDUMulti-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model,d-deDt The Journal of Real Estate Finance and Economics 27, no. 2 (2003): 143-172.etc.Please comment or leave suggestions
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version 1.0
size in Kb 10
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