Bayesian, MLE, and GMM Estimation of a Spot Rate Model

DOI10.1080/03610920500313759zbMath1081.62091OpenAlexW2133291947MaRDI QIDQ5712000

Hiroki Tsurumi, Rie Ashizawa, Xufeng Qian

Publication date: 22 December 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920500313759

zbMATH Keywords

generalized method of momentsmaximum likelihood estimatorMonte Carlo experimentsMarkov chain Monte Carlo algorithmsGriddy GibbsJapanese call ratevolatility elasticity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (1)

Bayesian Inference of the Regression Model with Error Terms Following the Exponential Power Distribution and Unbiasedness of the LAD Estimator

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• An Intertemporal Capital Asset Pricing Model
• An equilibrium characterization of the term structure

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