Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm
Ramaprasad Bhar, Carl Chiarella and Wolfgang J. Runggaldier
| Year of publication: |
2001
|
|---|---|
| Authors: | Bhar, Ramaprasad ; Chiarella, Carl ; Runggaldier, Wolfgang J. |
| Publisher: |
Broadway, NSW |
| Subject: | stochastic differential equation | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Finanzanalyse | Financial analysis | Bayes-Statistik | Bayesian inference | Theorie | Theory | Momentenmethode | Method of moments |
| Extent: | 18 S graph. Darst |
|---|---|
| Series: | Research paper / Quantitative Finance Research Group, University of Technology Sydney. - Sydney : School of Finance and Economics, Univ. of Technology, ISSN 1441-8010, ZDB-ID 2163439-7. - Vol. 68 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.business.uts.edu.au/finance/qfr/rp68.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001732756