Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve
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- Gaygysyz Guljanov & Willi Mutschler & Mark Trede, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," CQE Working Papers 10122, Center for Quantitative Economics (CQE), University of Muenster.
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More about this item
Keywords
state-space models; skewed Kalman filter; skewed Kalman smoother; closed skew-normal; dimension reduction; yield curve; term structure; dynamic Nelson-Siegel;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-01-02 (Econometrics)
- NEP-ETS-2023-01-02 (Econometric Time Series)
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