Filtering and identification of parabolic type factor model with stochastic volatility

MaRDI QIDQ3582844zbMATH OpenFDO

Authors Shin Ichi Aihara, Arunabha Bagchi

Publication date 24 August 2010

zbMATH Keywords

identificationmaximum likelihoodestimationfilteringstochastic volatilityparabolic type infinite-dimensional factor model

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Initial-boundary value problems for second-order parabolic equations (35K20) Estimation and detection in stochastic control theory (93E10)

Recommendations

• Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds
• The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques
• Fitting yield curve models using the Kalman filter
• On filtering in Markovian term structure models: an approximation approach
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH

Cited in

(1)

• Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds

This page was built for publication: Filtering and identification of parabolic type factor model with stochastic volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3582844)