The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON SYSTEMS
Transactions ID Number: 89-792
Full Name: Shu Wu
Position: Ph.D. Candidate
Age: ON
Sex: Female
Address: Room 304 Building 14, Wei Qiao Xin Cun,Wei Gang Xi 2, Nan Jing, Jiang Su Province, P.R.China
Country: CHINA
Tel: +86 13809004976
Tel prefix: +86
Fax:
E-mail address: iamwushu@hotmail.com
Other E-mails: gordonnliu@gmail.com
Title of the Paper: non-linear filtering in the estimation of a term structure model of interest rates
Authors as they appear in the Paper: Shu Wu
Email addresses of all the authors: iamwushu@hotmail.com
Number of paper pages: 10
Abstract: The methods of the class of Kalman filters have recently been used in the estimation of the term structure of interest rates. These methods can employ both time-series and cross-sectional aspects of term structure models. This paper compares the performance of two kinds of non-linear Kalman filter algorithms - Extended Kalman Filter (EKF) and Square-Root Unscented Kalman Filter (SRUKF) in estimating one popular exponential-affine term structure model. Simulation results show that SRUKF is of higher approximation accuracy and stronger numerical stability than EKF is.
Keywords: Non-linear filtering, Square-Root Unscented Kalman Filter, Extended Kalman Filter, Term structure of interest rates, Exponential-affine term structure model, One-factor Vasicek model
EXTENSION of the file: .doc
Special (Invited) Session: square-root unscented Kalman filtering of a term structure model of interest rates
Organizer of the Session: 637-317
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