Browsing by Keyword "Modelo Vasicek"
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Previsão da estrutura a termo de taxa de juros aplicando o Filtro de Kalman ao modelo Vasicek: o caso brasileiro
2014-08-08This work aims to test the quality of forecasting of the two factor Vasicek Model coupled with the Kalman filter. Applied to an investment strategy, it runs with a Stop Loss criteria for periods in which the model does not ...