Pierre Rostan

Audencia - Nantes Ecole de Management

44312 Nantes Cedex 3, Cedex 3

France

  • Audencia - Nantes Ecole de Management

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Forecasting the Interest-Rate Term Structure: Using the Model of Fong & Vasicek, the Extended Kalman Filter and the Bollinger Bands

Number of pages: 21 Posted: 12 Mar 2005
Pierre Rostan, Raymond Théoret and Abdeljalil El Moussadek
Audencia - Nantes Ecole de Management, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
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Term structure of interest rate, Extended Kalman Filter, Monte Carlo simulation, Root Mean Square Error, forecasting, stochastic volatility, Bollinger bands, Fong and Vasicek