Displaying 2 results from an estimated 2 matches for "vasicek".
Did you mean:
vasic
2001 May 08
0
estimate factor model?
Is it possible to estimate
dr = m(r) dt + s(r) dz
or
dr = a(b-r) dt + s dz
(Vasicek's term structure model)
with R?
How?
Thanks!
/fb
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body&...
2007 Aug 14
2
State Space Modelling
Hey all,
I am trying to work under a State Space form, but I didn't get the help
exactly.
Have anyone eles used this functions?
I was used to work with S-PLUS, but I have some codes I need to adpt.
Thanks alot,
Bernardo
[[alternative HTML version deleted]]