A Quadratic Kalman Filter

By Renne Jean-Paul, Monfort Alain, and Roussellet Guillaume
Working Paper (2013)

  • Jean-Paul Renne

    Banque de France

    France

  • Guillaume Roussellet

    Banque de France - CREST

    France

  • Alain Monfort

    CREST

    France

Created

December 17, 2013

Last update

June 20, 2016

Software

R

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4274

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375

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