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?

  • $\begingroup$ 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 '19 at 23:13

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.