Bayesian inference in a stochastic volatility Nelson-Siegel model
type: Item
instance of: scholarly article
title: Bayesian inference in a stochastic volatility Nelson-Siegel model
zbMATH Open document ID: 1255.62064
author: Nikolaus Hautsch
author: Fuyu Yang
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 6119784
zbMATH Keywords: term structure of interest rates
zbMATH Keywords: stochastic volatility
zbMATH Keywords: dynamic factor model
zbMATH Keywords: Markov chain Monte Carlo
describes a project that uses: SsfPack
describes a project that uses: AdMit
describes a project that uses: Svpack
MaRDI profile type: Publication
full work available at URL: j.csda.2010.07.003
OpenAlex ID: W2034310972
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DOI: 10.1016/J.CSDA.2010.07.003
description: scientific article; zbMATH DE number 6119784