Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
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Publication:1415421
DOI10.1023/A:1011436907037zbMath1054.91543OpenAlexW2137862031MaRDI QIDQ1415421
Publication date: 4 December 2003
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1011436907037
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The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach ⋮ 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 ⋮ Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences ⋮ A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan
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