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- W2356149558 abstract "In the CKLS general framework,this paper introduces approaches of estimation for equilibrium models of term structure of interest rates based on the extended Kalman filter(hereafter EKF) and unscented Kalman filter(hereafter UKF).Using fourteen years of daily Canadian zero-coupon bond price data,we make a survey and contrast between the estimation performances of the EKF-based and UKF-based algorithms.The empirical result comes to a conclusion that the UKFbased algorithm introduced in this paper offers a superior performance to the EKF-based one,which is used as a standard method to yield the likelihood function in literature.The superiority is further magnified when it comes to a strong nonlinear system with a non-Gaussian distribution.Furthermore,the fitness of Vasicek model and CIR model is compared with the data above using the UKF-based algorithm,which indicates that both the models perform well in capturing the dynamics of the interest rates,while Vasicek model does even better." @default.
- W2356149558 created "2016-06-24" @default.
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- W2356149558 date "2009-01-01" @default.
- W2356149558 modified "2023-09-23" @default.
- W2356149558 title "Estimations of Term Structure of Interest Rate Model Based on EKF and UKF Approaches" @default.
- W2356149558 hasPublicationYear "2009" @default.
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