Term structure estimation with liquidity-adjusted Affine Nelson Siegel model : a nonlinear state space approach applied to the Indian bond market
Sudarshan Kumar and Vineet Virmani
| Year of publication: |
2022
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|---|---|
| Authors: | Kumar, Sudarshan ; Virmani, Vineet |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 54.2022, 6, p. 648-669
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| Subject: | Indian Government bond | Liquidity | Non-linear state-space | Term structure | Unscented Kalman filter | Zustandsraummodell | State space model | Zinsstruktur | Yield curve | Indien | India | Schätzung | Estimation | Öffentliche Anleihe | Public bond | Rentenmarkt | Bond market | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2021.1967866 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012874236