Bayesian inference in a stochastic volatility Nelson-Siegel model (Q1927156)
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scientific article; zbMATH DE number 6119784
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian inference in a stochastic volatility Nelson-Siegel model |
scientific article; zbMATH DE number 6119784 |
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Bayesian inference in a stochastic volatility Nelson-Siegel model (English)
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30 December 2012
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term structure of interest rates
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stochastic volatility
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dynamic factor model
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Markov chain Monte Carlo
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