Term structure estimation with liquidity-adjusted Affine Nelson Siegel model : a nonlinear state space approach applied to the Indian bond market
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 | Indien | India | Zustandsraummodell | State space model | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | Rentenmarkt | Bond market |
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