Frank de Jong at the University of Amsterdam has estimated Affine term structure models using either gauss or Matlab (see his article in the Journal of Business and Economic Statistics). I have a review article on state space modeling in economics and finance using Ssfpack within S-PLUS that covers term structure estimation. You can download the article from my website: http://faculty.washington.edu/ezivot/ezresearch.htm
"Maurice" <[EMAIL PROTECTED]> wrote in message [EMAIL PROTECTED]">news:[EMAIL PROTECTED]... > Hi, > > I'm searching code to estimate real and nominal term structures in Ox > (or Gauss). > I like to construct a term structure model as proposed by Duffie and > Kan. > This class of models interest rates and prices of bonds are linear > (affine) functions of a small number of factors. The dynamics of these > factors are described by a generalized square root diffusion process. > These models maken an explicit link between the time series dimension > and the cross section dimension > Estimation of the model is based on the available yields. Since the > factors are treated as latent variables, they can be backed out using > the Kalman filter. Estimation is then by maximum likelihood based on > the conditional means and variances of the processes of the factors. > To apply the Kalman filter in the estimation, the model has to be > written in linear state -space form. > > I really appreciate your help. > > Thanks in advance, > > Maurice. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
