Estimating an affine term structure model of interest rates with correlated noise.
Kalman filtering for the affine term structure model of interest rates is typically applied under the assumption of white noise. However, correlated noise frequently occurs during actual data processing. The accuracy and reliability of the filter are compromised if the correlated noise is assumed to...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2025-01-01
|
| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0318076 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|