Estimating and Testing an Exponential-Affine Term Structure Model by Nonlinear Filtering

Mathematics

• Stochastic Differential Equation 100%
• Term Structure 100%
• Affine Term 100%
• Bivariate 50%
• Space Model 50%
• Cross Section 50%
• Maximum Likelihood Method 50%
• Bond Market 50%

Economics, Econometrics and Finance

• Yield Curve 100%
• Public Bond 50%
• State Space Model 50%
• Financial Market 50%
• Time Series 50%

Keyphrases

• Money Market 50%
• Long-term Interest Rates 50%
• Short-term Interest Rate 50%