Dear, r-help,
Long time reader, first time poster,
I'm working on a paper regarding a term structure estimation using the
Kalman Filter Algorithm. The model in question is the Generalized Vasicek,
and since there are coupon-bonds being estimated, I'm supposed to make some
changes on the Kalman Filter.
Does anyone has already used R for these purposes? Any tips?
Does anyone has a Kalman Filter code I could use as a starting point for an
Extended Kalman Filter Approach?
Thanks a lot for the patience and time,
Bernardo Ribeiro
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