Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model

DOI10.1080/07474938.2019.1690191zbMath1490.62312OpenAlexW2991001488WikidataQ126623814 ScholiaQ126623814MaRDI QIDQ5860977

Cem Çakmaklı

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/9084

zbMATH Keywords

Bayesian inferenceyield curvedynamic factor modelDirichlet process mixtureNelson-Siegel model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Uses Software

• bvarsv

Cites Work

• Forecasting the term structure of government bond yields
• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
• The macroeconomy and the yield curve: a dynamic latent factor approach
• A semi-parametric Bayesian approach to the instrumental variable problem
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Bayesian semiparametric stochastic volatility modeling
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Semiparametric Bayesian inference for stochastic frontier models
• Slice sampling. (With discussions and rejoinder)
• Generalized autoregressive conditional heteroscedasticity
• Semiparametric Bayes analysis of longitudinal data treatment models
• Bayesian inference in a stochastic volatility Nelson-Siegel model
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• The Calculation of Posterior Distributions by Data Augmentation
• Parsimonious Covariance Matrix Estimation for Longitudinal Data
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
• Semiparametric Bayesian Inference in Autoregressive Panel Data Models
• A Bayes Approach for Combining Correlated Estimates
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Contemporary Bayesian Econometrics and Statistics