This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term …

stochastic volatility model. Specifically, a set of unobserved time-dependent factors, along with an associated loading matrix … series is assumed to follow independent three-parameter univariate stochastic volatility processes. A complete analysis of … these models, and its special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces …

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …