The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach

Carl Chiarella, Hing Hung, Thuy-Duong Tô. The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach. Computational Statistics & Data Analysis, 53(6):2075-2088, 2009. [doi]

Abstract

Abstract is missing.