Identification of affine term structures from yield curve data

DOI10.1142/S0219024910005760MaRDI QIDQ3564993zbMATH OpenOpenAlexFDO

Authors Shin Ichi Aihara, Arunabha Bagchi

Publication date 27 May 2010

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024910005760

zbMATH Keywords

affine term structureforward curvesinterest rate modelsKalman filterMLE

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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Cites work

• Continuous time systems identification with unknown noise covariance
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3498996 (Why is no real title available?)
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
• On some filtering problems arising in mathematical finance
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING

Cited in

(3)

• Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
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• Identification and estimation of Gaussian affine term structure models

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