Similar Items: Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models
- Estimating dynamic affine term structure models
- Latent State and Parameter Estimation of Stochastic Volatility/Jump Models via Particle Filtering
- Structure from motion estimation using a nonlinear Kalman filter
- Calibrating Term Structure Models to an Initial Yield Curve
- A Kalman filter model for signal estimation in the auditory system
- Level Dependence in Volatility in Linear-Rational Term Structure Models