A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Januj Amar Juneja
| Year of publication: |
2022
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|---|---|
| Authors: | Juneja, Januj Amar |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 60.2022, 1, p. 173-220
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| Subject: | Computational methods | Dynamic affine term structure models | Kalman Filter | Monte Carlo Simulation | Parametric inference under constraints | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10146-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262506