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:	2013-12
Authors:	Krippner, Leo
Institutions:	Crawford School of Public Policy, Australian National University
Subject:	Black framework \| zero lower bound \| shadow short rate \| term structure model

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Extent:	application/pdf
Series:	CAMA Working Papers.
Type of publication:	Book / Working Paper
Notes:	10 pages
Classification:	c18 ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010904253