"An online estimation scheme for a Hull-White model with HMM-driven parameters."

Christina Erlwein, Rogemar S. Mamon (2009)

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DOI: 10.1007/S10260-007-0082-4

access: closed

type: Journal Article

metadata version: 2020-05-25

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Christina Erlwein, Rogemar S. Mamon:
An online estimation scheme for a Hull-White model with HMM-driven parameters. Stat. Methods Appl. 18(1): 87-107 (2009)

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