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ArticleAn online estimation scheme for a Hull–White model with HMM-driven parameters

Christina Erlwein‐Sayer2007

Article2007

An online estimation scheme for a Hull–White model with HMM-driven parameters

Christina Erlwein‐Sayer · Rogemar S. Mamon

35 citations·0/0 files stored·Statistical Methods & Applications

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1990Pricing Interest-Rate-Derivative Securities 1985An Intertemporal General Equilibrium Model of Asset Prices 1996Modeling the conditional distribution of interest rates as a regime-switching process 1992Error measures for generalizing about forecasting methods: Empirical comparisons

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2012Pricing bond options under a Markovian regime-switching Hull–White model

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Year2007

Typearticle

Published2007-11-27

VenueStatistical Methods & Applications

ISSN-L1121-9130

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10260-007-0082-4

openalex_workW1983264599

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