How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
Januj Amar Juneja
| Year of publication: |
2021
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| Authors: | Juneja, Januj Amar |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 18.2021, 1, p. 73-97
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| Subject: | Dynamic affine term structure models | Kalman filter | Monte Carlo simulation | Invariant transformation | Stochastic process | Optimization | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Stochastischer Prozess | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Zeitreihenanalyse | Time series analysis | Algorithmus | Algorithm | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-020-00380-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012487048