Pages that link to "Item:Q1415421"
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The following pages link to Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom (Q1415421):
Displaying 12 items.
- Identification and estimation of Gaussian affine term structure models (Q527947) (← links)
- A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan (Q816779) (← links)
- Correlation structure forecasting \& ex ante portfolio selection strategies in the Japan market (Q1000371) (← links)
- Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence (Q1000460) (← links)
- A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term (Q1005306) (← links)
- Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences (Q2315839) (← links)
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models (Q2343755) (← links)
- Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting (Q2378387) (← links)
- The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach (Q2507934) (← links)
- (Q5283667) (← links)
- Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs (Q5867418) (← links)
- Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence (Q6567317) (← links)
