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?

2020 ◽  
Author(s):  
Januj Amar Juneja
Keyword(s):  
Term Structure ◽  
Kalman Filtering ◽  
Continuous Time ◽  
Affine Term Structure ◽  
Filtering Algorithm ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Kalman Filtering Algorithm

scholarly journals Nonlinear Kalman Filtering in Affine Term Structure Models

2014 ◽  
Vol 60 (9) ◽  
pp. 2248-2268 ◽  
Author(s):  
Peter Christoffersen ◽  
Christian Dorion ◽  
Kris Jacobs ◽  
Lotfi Karoui
Keyword(s):  
Term Structure ◽  
Kalman Filtering ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Nonlinear Kalman Filtering
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