Kalman Filtering of Generalized Vasicek Term Structure Models
提出Langetieg线性高斯期限结构模型的一个子类，将债券价格表示为有限状态变量的函数，并用卡尔曼滤波估计单因子、双因子和三因子模型，基于1987-1996年美国数据验证了该子类对期限结构的拟合能力。
We present a subclass of Langetieg's (1980).linear Gaussian models of the term structure. The bond price is derived in terms of a finite set of state variables with correlated innovations. The subclass contains a reformulation of the double-decay model of Beaglehole and Tenney (1991), enabling us to clarify interpretation of their parameters. We apply Kalman filtering to a state space formulation of the model, allowing measurement errors in the data. One-, two-, and three-factor models are estimated on U.S. data from 1987–1996 and the results indicate the subclass of models can fit the U.S. term structure.