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?
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Publication:2033711
Cites work
- A Concise Parametrization of Affine Transformation
- A note on the Dai-Singleton canonical representation of affine term structure models
- An arbitrage‐free generalized Nelson–Siegel term structure model
- An equilibrium characterization of the term structure
- Diffusion Strategies for Distributed Kalman Filtering and Smoothing
- Dynamic term structure models using principal components analysis near the zero lower bound
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Exact smooth term-structure estimation
- Identification and estimation of Gaussian affine term structure models
- Numerical aspects of different Kalman filter implementations
- Performance Analysis of the Kalman Filter With Mismatched Noise Covariances
- Rotating 5D-Kaluza-Klein space-times from invariant transformations
- SOLVABLE AFFINE TERM STRUCTURE MODELS
- Staying at zero with affine processes: an application to term structure modelling
- The affine arbitrage-free class of Nelson-Siegel term structure models
- Worst-case Prediction Performance Analysis of the Kalman Filter
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