Browsing by Subject "Kalman filter"
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Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter
(Universidad ESAN. ESAN Ediciones , 2014-12-30 )The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data ...acceso abierto