... Central Difference Kalman FilterThe central difference Kalman filter is a type of sigma-point filter. Sigma-pointfilters deal with non-linearities in the following manner:• First, a set of points ... A Joint Model of the UK Nominal and Real Yield Curves’, Journal of Banking & Finance, 34(2),pp 281–294.26A.5 In ation Expectations and the In ation Risk PremiumFinally, we link our in ation ... the in ation yield can be expressed in terms of an in ation Stochastic Discount Factor (SDF). The in ation SDFis a theoretical concept, which for the purpose of asset pricing incorporates allinformation...