Estimating Multivariate Exponentail-Affine Term Structure Models from Coupon Bound Prices using Nonlinear Filtering

Keyphrases

• Coupon Bonds 100%
• Affine Term Structure Models 100%
• Bond Prices 100%
• Unobserved State Variables 50%
• Stochastic Volatility 50%
• Term Structure of Interest Rates 50%
• Stochastic Noise 50%
• Discrete-state Models 50%
• Bond Pricing 50%
• Nonlinear Filtering Problems 50%
• Bond Market 50%
• Spot Interest Rate 50%

Economics, Econometrics and Finance

• Yield Curve 100%
• Monte Carlo Simulation 33%
• Econometrics 33%
• State Space Model 33%
• Volatility 33%
• Pricing 33%
• Central Tendency 33%