Fitting yield curve models using the Kalman filter

DOI10.1002/PAMM.200310523MaRDI QIDQ5892243zbMATH OpenOpenAlexFDO

Authors

Publication date 25 January 2017

Published in PAMM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/pamm.200310523

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11)

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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure

Cited in

(12)

• Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence
• Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
• The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques
• Exploring decline curve residual modeling using Kalman filter
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• On the parameter estimation in the Schwartz-Smith's two-factor model
• Parameter uncertainty in Kalman-Filter estimation of the CIR term-structure model
• Filtering and identification of parabolic type factor model with stochastic volatility
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• Consistent recalibration of yield curve models
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• Value-at-risk for fixed-income portfolios: a Kalman filtering approach

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