Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

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Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure

Institution:	1. Anaesthesia and Intensive Care Unit, School of Veterinary Medicine, Faculty of Health, Aristotle University of Thessaloniki, Thessaloniki, Greece;2. Surgery and Obstetrics Unit, Department of Clinical Sciences, School of Veterinary Medicine, Faculty of Health, Aristotle University of Thessaloniki, Thessaloniki, Greece;3. Laboratory of Pathology, Department of Infectious and Parasitic Diseases and Pathology, School of Veterinary Medicine, Faculty of Health, Aristotle University of Thessaloniki, Thessaloniki, Greece;4. Alexandrion Technological Institute of Thessaloniki, Thessaloniki, Greece;1. Framatome GmbH Karlstein, Seligenstädter Strasse 100, 63791 Karlstein, Germany;2. Framatome GmbH Erlangen, Paul-Gossen-Strasse 100, 91052 Erlangen, Germany;1. Depto. de Matemática Aplicada y Ciencias de la Comput., Universidad de Cantabria, 39005-Santander, Spain;2. Depto. de Matemáticas, Estadística y Comput., Universidad de Cantabria, 39005-Santander, Spain;3. IAA, 1391 VD 18, Abcoude, The Netherlands

Abstract:	This work explores an original methodology to specify Gaussian dynamic term structure models and estimate them efficiently from time series data. The emphasis is on the cross-sectional dimension of the problem. The form of the term premium is chosen so as to take into account the recent contributions that provide evidence in favor of time-varying market prices of risk. A model based on a widely used family of forward curves is then estimated from time series of eight UK interest rates. An extensive diagnostic check is carried out to assess the fit of the model.

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