A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Year of publication: |
2022
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Authors: | Juneja, Januj Amar |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 60.2022, 1, p. 173-220
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Subject: | Computational methods | Dynamic affine term structure models | Kalman Filter | Monte Carlo Simulation | Parametric inference under constraints | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Simulation | Zeitreihenanalyse | Time series analysis |
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