Nonlinear Kalman Filtering in Affine Term Structure Models
نویسندگان
چکیده
منابع مشابه
Nonlinear Kalman Filtering in Affine Term Structure Models
The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed income applications. We investigate if the unscented Kalman filter should be used to capture nonlinearities, and compare the performance of the Kalman filter to that of the particle filter. We analyze the cross section of swap rates, which are mildly nonlinear in th...
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ژورنال
عنوان ژورنال: Management Science
سال: 2014
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.2013.1870