Simulation-based Bayesian estimation of an affine term structure model

DOI10.1016/j.csda.2004.05.026zbMath1429.62477OpenAlexW2082605190MaRDI QIDQ957220

Gael M. Martin, Andrew D. Sanford

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.05.026

zbMATH Keywords

Bayesian analysisMarkov chain Monte Carlodata augmentationinterest rate models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

Bayesian inference in a stochastic volatility Nelson-Siegel model ⋮ Estimation of parameters in mean-reverting stochastic systems ⋮ Second special issue on computational econometrics ⋮ Computational techniques for applied econometric analysis of macroeconomic and financial processes ⋮ Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs

Cites Work

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• Memory and infrequent breaks
• A Theory of the Term Structure of Interest Rates
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Likelihood Inference for Discretely Observed Nonlinear Diffusions

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