Kalman filter application in matlab

The following Matlab project contains the source code and Matlab examples used for kalman filter application. Corresponds to the paper "estimating and testing exponential-affine term structure models by kalman filter" published by Review of Quantitative Finance and Accounting in 1999.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
ir.xls 54784
license.txt 1304
loglik.m 1743
TreasuryYieldKF.m 833