Continuous-time Identification of Exponential-affine Term Structure Models
نویسنده
چکیده
No part of this work may be reproduced by print, photocopy or any other means without the permission in writing from the author.
منابع مشابه
Prediction of global sea cucumber capture production based on the exponential smoothing and ARIMA models
Sea cucumber catch has followed “boom-and-bust” patterns over the period of 60 years from 1950-2010, and sea cucumber fisheries have had important ecological, economic and societal roles. However, sea cucumber fisheries have not been explored systematically, especially in terms of catch change trends. Sea cucumbers are relatively sedentary species. An attempt was made to explore whether the tim...
متن کاملNon-Linear Filtering in the Estimation of a Term Structure Model of Interest Rates
The methods of the class of Kalman filters have recently been used in the estimation of the term structure of interest rates. These methods can employ both time-series and cross-sectional aspects of term structure models. This paper compares the performance of two kinds of non-linear Kalman filter algorithms Extended Kalman Filter (EKF) and Square-Root Unscented Kalman Filter (SRUKF) in estimat...
متن کاملPrediction of global sea cucumber capture production based on the exponential smoothing and ARIMA models
Sea cucumber catch has followed “boom-and-bust” patterns over the period of 60 years from 1950-2010, and sea cucumber fisheries have had important ecological, economic and societal roles. However, sea cucumber fisheries have not been explored systematically, especially in terms of catch change trends. Sea cucumbers are relatively sedentary species. An attempt was made to explore whe...
متن کاملEnlarging Domain of Attraction for a Special Class of Continuous-time Quadratic Lyapunov Function Piecewise Affine Systems based on Discontinuous Piecewise
This paper presents a new approach to estimate and to enlarge the domain of attraction for a planar continuous-time piecewise affine system. Various continuous Lyapunov functions have been proposed to estimate and to enlarge the system’s domain of attraction. In the proposed method with a new vision and with the aids of a discontinuous piecewise quadratic Lyapunov function, the domain of attrac...
متن کاملNonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates
We develop a nonparametric specification test for continuous-time models using the transition density. Using a data transform and correcting for the boundary bias of kernel estimators, our test is robust to serial dependence in data and provides excellent finite sample performance. Besides univariate diffusion models, our test is applicable to a wide variety of continuous-time and discrete-time...
متن کامل