Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models
When optimising the likelihood function one often encounters various stationary points and sometimes discontinuities in the parameter space (Gupta and Mehra, 1974). This is certainly true for a majority of multi-factor affine term structure models. Practitioners often recover different parameter opt...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2019
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| Online Access: | http://hdl.handle.net/11427/29465 |