Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Year of publication: |
2010-01
|
---|---|
Authors: | Hautsch, Nikolaus ; Yang, Fuyu |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | term structure of interest rates | stochastic volatility | dynamic factor model | Markov chain Monte Carlo |
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