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- W2384653854 abstract "In a multifactor HJM framework,this paper transforms a class of non-Markovian forward rate models with a specific volatility specification into the Markovian representation,which is further cast into a state-space model.Then a maximum likelihood estimator based on the unscented Kalman filter is introduced into the estimation of the term structure models,thus getting the problems of nonlinearity and the existence of latent variables resolved.For the empirical study,a three-factor HJM model is established for the Shanghai Interbank Offered Rate(SHIBOR)market by introducing stochastic market price of risk and a volatility specification appropriate for the market.It is found that the dynamics and volatility structure of SHIBOR are both well captured by the model,and the level and slope factors explain the majority of the variation of the yield curve." @default.
- W2384653854 created "2016-06-24" @default.
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- W2384653854 date "2010-01-01" @default.
- W2384653854 modified "2023-09-24" @default.
- W2384653854 title "Model calibration of HJM models based on UKF with application" @default.
- W2384653854 hasPublicationYear "2010" @default.
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