关于具有状态变量的HJM模型的实证分析

An Empirical Analysis of One HJM Model with State Variables

采用能有效地将期限结构数据中的时间序列和截面信息结合起来的成组数据方法 ,并借助于

This paper uses a panel data approach that efficeiently combines the time series and crosssection information in the term structure data,and applies the Kalman filter to estimate a parametric verision of the model by psendo maxinum likelihood and extract the implied variable.