Nonlinear Kalman Filtering in Affine Term Structure Models

B-Tier
Journal: Management Science
Year: 2014
Volume: 60
Issue: 9
Pages: 2248-2268

Authors (4)

Peter Christoffersen Christian Dorion (not in RePEc) Kris Jacobs (not in RePEc) Lotfi Karoui (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:inm:ormnsc:v:60:y:2014:i:9:p:2248-2268
Journal Field
General
Author Count
4
Added to Database
2026-02-08