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?
Crossref DOI link: https://doi.org/10.1007/s10287-020-00380-7
Published Online: 2020-12-23
Published Print: 2021-01
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Juneja, Januj Amar http://orcid.org/0000-0003-2032-526X
Funding for this research was provided by:
national science foundation (SES180016)
Text and Data Mining valid from 2020-12-23
Version of Record valid from 2020-12-23
Article History
Received: 27 March 2020
Accepted: 11 November 2020
First Online: 23 December 2020