Efficient Jacobian evaluations for estimating zero lower bound term structure models

Vol: 
77/2013
Author name: 
Krippner L
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.

Publication file: 

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