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Nonlinear Kalman Filtering in Affine Term Structure Models · Study

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PreprintNonlinear Kalman Filtering in Affine Term Structure Models

Peter Christoffersen2012

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Preprintgreen2012

Nonlinear Kalman Filtering in Affine Term Structure Models

Peter Christoffersen · Christian Dorion · Kris Jacobs

25 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Target Tracking and Data Fusion in Sensor Networks

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References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2000Specification Analysis of Affine Term Structure Models 2002Term Premia and Interest Rate Forecasts in Affine Models 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure 1999Estimating the Price of Default Risk 2010Predictive Regressions: A Present‐Value Approach

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Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2065624

openalex_workW1524839504

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