SSRN Electronic Journal · 2009 · 17 citations · 34 references
BusinessEconomicsFinanceAsset PricingFinancial EconometricsFinancial EconomicsAsset Pricing EmpiricsAsset Return ModelingKalman FilteringState EstimationState-space ModelsTime Series EconometricsDynamic ModelsExtended Kalman FilterExtended Kalman FilteringNonlinear FilteringQuadratic ModelsState VariablesUnscented Kalman FilterUnscented Kalman Filtering
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations
A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations
Unscented Filtering and Nonlinear Estimation
Simon Julier, Jeffrey Uhlmann · Proceedings of the IEEE · 2004 · 6.5K citations
Computing, Data Science, Forecasting +14
A YIELD‐FACTOR MODEL OF INTEREST RATES
Darrell Duffie, Rui Kan · Mathematical Finance · 1996 · 2.6K citations