Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models

2017 ◽  
Vol 64 ◽  
pp. 292-305 ◽  
Author(s):  
Januj Juneja
Keyword(s):  
Term Structure ◽  
Affine Term Structure ◽  
Observational Equivalence ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Empirical Performance

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
Sign in / Sign up

Export Citation Format

Share Document