Non-linear filtering in the estimation of a term structure model of interest rates

Authors:
Shu Wu
Affiliations:
Department of Management Science and System Engineering, Nanjing University of Aeronautics and Astronautics, Nan Jing, Jiang Su Province, P.R.China
Venue:
WSEAS TRANSACTIONS on SYSTEMS
Year:
2010

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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.