Genetic algorithms + data structures = evolution programs (3rd ed.)
Genetic algorithms + data structures = evolution programs (3rd ed.)
An introduction to genetic algorithms
An introduction to genetic algorithms
The Simple Genetic Algorithm: Foundations and Theory
The Simple Genetic Algorithm: Foundations and Theory
The Multifactor Nature of the Volatility of Futures Markets
Computational Economics
Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
Computational Statistics & Data Analysis
Bayesian inference for nonlinear multivariate diffusion models observed with error
Computational Statistics & Data Analysis
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
Computational Statistics & Data Analysis
Repeated median and hybrid filters
Computational Statistics & Data Analysis
Linear and nonlinear filtering in mathematical finance: an overview
ISTASC'09 Proceedings of the 9th WSEAS International Conference on Systems Theory and Scientific Computation
Maximum Likelihood Estimation of the Cox---Ingersoll---Ross Model Using Particle Filters
Computational Economics
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The dynamics for interest rate processes within the well-known multi-factor Heath, Jarrow and Morton (HJM) specification are considered. Despite the flexibility of and the notable advances in theoretical research about the HJM model, the number of empirical studies of it is still very sparse. This paucity is principally due to the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. The estimation of a fairly broad class of HJM models as a nonlinear filtering problem is undertaken by adopting the local linearization filter, which is known to have some desirable statistical and numerical features, so enabling the estimation of the model via the maximum likelihood method. The estimator is then applied to the US, the UK and the Australian markets. Different two- and three-factor models are found to be the best for each market, with the factors being the level, the slope and the ''twist'' effect. The contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims are found to differ considerably from one market to another.