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I am implementing "The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments" . This paper is using kalman filter to estimate the state and the mean variance and a parameters on top of the kalman filter using maximum likelihood, How can this be done? and references?

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  • $\begingroup$ who are the article's authors and year? If the article describes how it is done in theory, then how do you want to - on paper, in a program? $\endgroup$ – develarist Jun 23 at 23:13

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