Nonlinear Kalman filtering in affine term structure models
Peter Christoffersen; Christian Dorion; Kris Jacobs; Lotfi Karoui
| Year of publication: |
2014
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|---|---|
| Authors: | Christoffersen, Peter F. ; Dorion, Christian ; Jacobs, Kris ; Karoui, Lotfi |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 60.2014, 9, p. 2248-2268
|
| Subject: | Kalman filtering | nonlinearity | term structure models | swaps | caps | particle filtering | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Nichtlineare Regression | Nonlinear regression | Zeitreihenanalyse | Time series analysis | Swap | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010461908