"How do invariant transformations affect the calibration and optimization ..."

Januj Amar Juneja (2021)

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DOI: 10.1007/S10287-020-00380-7

access: closed

type: Journal Article

metadata version: 2021-03-23

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Januj Amar Juneja:
How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? Comput. Manag. Sci. 18(1): 73-97 (2021)

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