Concepedia

The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach

Carl Chiarella, Hing Hung, Thuy‐Duong Tô

Computational Statistics & Data Analysis · 2008 · 22 citations · 70 references

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70

A new look at the statistical model identification

Hirotugu Akaike · IEEE Transactions on Automatic Control · 1974 · 50.7K citations · Full text

, , +9

A New Approach to Linear Filtering and Prediction Problems

R. E. Kalman · Journal of Basic Engineering · 1960 · 31K citations

, , +16

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

, , +17

New Results in Linear Filtering and Prediction Theory

R. E. Kalman, R. S. Bucy · Journal of Basic Engineering · 1961 · 6.3K citations

, , +16

An equilibrium characterization of the term structure

Oldrich A Vasicek · Journal of Financial Economics · 1977 · 6.3K citations

, , +7