Nonlinear Kalman Filtering in Affine Term Structure Models

Management Science ◽

10.1287/mnsc.2013.1870 ◽

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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Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix

SSRN Electronic Journal ◽

10.2139/ssrn.2322760 ◽

2013 ◽

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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Nonlinear Kalman Filtering in Affine Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2065624 ◽

2012 ◽

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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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?

Computational Management Science ◽

10.1007/s10287-020-00380-7 ◽

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

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An Empirical Evaluation of the Estimation of Affine Term Structure Models: How Invariant Affine Transformations and Rotations Lead to Improved Empirical Performance

SSRN Electronic Journal ◽

10.2139/ssrn.1361050 ◽

2009 ◽

Author(s):

Januj Juneja

Keyword(s):

Term Structure ◽

Empirical Evaluation ◽

Affine Transformations ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Empirical Performance

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Diagnosing Multivariate Continuous-Time Models with Application to Affine Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.858724 ◽

2005 ◽

Author(s):

Bin Chen ◽

Yongmiao Hong

Keyword(s):

Term Structure ◽

Continuous Time ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Continuous Time Models

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Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations

Applied Mathematical Finance ◽

10.1080/1350486x.2014.896510 ◽

2014 ◽

Vol 21 (6) ◽

pp. 523-554 ◽

Author(s):

Ting Ting Huang ◽

Bruce Qiang Sun ◽

Xinfu Chen

Keyword(s):

Term Structure ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Empirical Investigations

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Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.410420 ◽

2003 ◽

Author(s):

Pierre Collin-Dufresne ◽

Robert S. Goldstein ◽

Christopher S. Jones

Keyword(s):

Stochastic Volatility ◽

Term Structure ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models

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Consistency Conditions for Affine Term Structure Models II. Option Pricing Under Diffusions with Embedded Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.627622 ◽

2004 ◽

Author(s):

Sergei Z. Levendorskii

Keyword(s):

Option Pricing ◽

Term Structure ◽

Affine Term Structure ◽

Consistency Conditions ◽

Affine Term Structure Models ◽

Term Structure Models

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Conditional Volatility in Affine Term Structure Models: Evidence from Treasury and Swap Markets

SSRN Electronic Journal ◽

10.2139/ssrn.1127985 ◽

2008 ◽

Author(s):

Kris Jacobs ◽

Lotfi Karoui

Keyword(s):

Term Structure ◽

Conditional Volatility ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models

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Affine Term Structure Models

Interest Rate Modeling ◽

10.1201/b15841-13 ◽

2009 ◽

pp. 307-338

Keyword(s):

Term Structure ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models

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