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Dynamic affine term structure models
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Juneja, Januj Amar
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Computational management science
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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?
Juneja, Januj Amar
- In:
Computational management science
18
(
2021
)
1
,
pp. 73-97
Persistent link: https://www.econbiz.de/10012487048
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