Efficient Jacobian Evaluations for Estimating Zero Lower Bound Term Structure Models

Faster extended Kalman filter estimations of zero lower bound models of the term structure are possible if the analytic properties of the Jacobian matrix for the measurement equation are exploited. I show that such results are straighforward to incorporate, at least in Monte-Carlo-based implementations, and that will facilitate fast and robust estimations of zero lower bound term structure models with the iterated extended Kalman filter

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Year of publication:	2014
Authors:	Krippner, Leo
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Niedrigzinspolitik \| Low-interest-rate policy \| Zustandsraummodell \| State space model \| Theorie \| Theory

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Extent:	1 Online-Ressource (10 p)
Series:	CAMA Working Paper ; No. 77/2013
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2013 erstellt
Other identifiers:	10.2139/ssrn.2367062 [DOI]
Classification:	c18 ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013061782