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Efficient Jacobian evaluations for estimating zero lower bound term structure models

Vol: 
CAMA Working Paper 77/2013
Author name: 
Leo Krippner
Year: 
2013
Month: 
December
Abstract: 

Faster extended Kalman filter estimations of zero lower bound models of the term structure are possible if the analytic properties of the Jacobian matrix for the measurement equation are exploited. I show that such results are straighforward to incorporate, at least in Monte-Carlo-based implementations, and that will facilitate fast and robust estimations of zero lower bound term structure models with the iterated extended Kalman filter.

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