Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter

• 1 January 1999
• journal article
• Published by Springer Nature in Review of Quantitative Finance and Accounting
• Vol. 13  (2) , 111-135
• https://doi.org/10.1023/a:1008304625054

Abstract

Keywords

• EXPONENTIAL-AFFINE
• TERM STRUCTURE
• STATE-SPACE MODEL
• KALMAN FILTER
• QUASI-MAXIMUM LIKELIHOOD
• QUASI MAXIMUM LIKELIHOOD
• SAMPLE SIZE
• LAGRANGE MULTIPLIER TEST
• AFFINE TERM STRUCTURE MODEL
• STATE SPACE MODEL
• MEASUREMENT ERROR
• PARAMETER ESTIMATION
• STATE SPACE

All Related Versions

• Version 1, RePEc (Unconfirmed version)