Working Paper
Estimating the cost of U.S. indexed bonds
Pennacchi, George; Foresi, Silverio; Penati, Alessandro (1997)
A presentation of an equilibrium bond-pricing model driven by two stochastic factors: the real interest rate and the expected rate of inflation. The models parameters are estimated using a maximum-likelihood technique based on a Kalman filter.
Working Papers (Old Series) , Paper 9701