Priors and Bayesian parameter estimation of affine term structure models
Year of publication: |
2014
|
---|---|
Authors: | Sögner, Leopold |
Published in: |
International Journal of Computational Economics and Econometrics. - Inderscience Enterprises Ltd, ISSN 1757-1170. - Vol. 4.2014, 3/4, p. 288-319
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | affine term-structure models | MCMC | Markov chain Monte Carlo simulation | near unit root behaviour | regularised priors | Bayesian parameter estimation | term structure | interest rates |
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