Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data

DOI10.1023/B:FEJM.0000039875.28149.6DzbMath1079.91522OpenAlexW1980457503MaRDI QIDQ702234

Hiroshi Tsuda

Publication date: 17 January 2005

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:fejm.0000039875.28149.6d

zbMATH Keywords

Kalman filterBayesian state space representationdynamic bond pricing modelrandom cash-flow discount function

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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