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"Nonlinear Kalman Filtering in Affine Term Structure Models."

Peter F. Christoffersen et al. (2014)

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DOI: 10.1287/MNSC.2013.1870

access: closed

type: Journal Article

metadata version: 2020-06-30

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  - journals/mansci/ChristoffersenDJK14
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  - https://dblp.org/rec/journals/mansci/ChristoffersenDJK14
Peter F. Christoffersen, Christian Dorion, Kris Jacobs, Lotfi Karoui:
Nonlinear Kalman Filtering in Affine Term Structure Models. Manag. Sci. 60(9): 2248-2268 (2014)

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