An Interest-rate Model Analysis Based on Data Augmentation Bayesian Forecasting

DOI10.1080/02664760600746756zbMath1119.62369OpenAlexW2059423956MaRDI QIDQ3592650

Eiji Minemura

Publication date: 13 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760600746756

zbMATH Keywords

Bayesian inferencedynamic linear modelcomputational simulationMarkov-chain Monte Carloprobability measure transformation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

• Bayesian forecasting and dynamic models.
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Generalized autoregressive conditional heteroscedasticity
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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