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Keywords: Kalman Filter
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2005) 13 (2): 107–132.
Published: 30 November 2005
...Jang Koo Kang; Sung Hwan Kim; Chul Woo Han This article uses a Kalman filter to fit yields of investment-grade corporate bonds to the model of instantaneous default risk, based on Duffee (1999. Review of Financial Studies. 12. PP. 197-226). The first part of this article fits the term structure...
