Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10010496421
Persistent link: https://www.econbiz.de/10001799635
Persistent link: https://www.econbiz.de/10001752050
The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully study the effect different parameterizations of the latent volatility process and the parameters of the volatility process have on the convergence and the mixing behavior of the...
Persistent link: https://www.econbiz.de/10014221761
This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for p-polynomial processes. Then the generalized method of...
Persistent link: https://www.econbiz.de/10012904153
In this article we estimate default intensities within the continuous time Jarrow/Turnbull (1995) model from daily observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided by the Deutsche Bundesbank. Cross-sectional and...
Persistent link: https://www.econbiz.de/10012923107
Persistent link: https://www.econbiz.de/10008909155
Persistent link: https://www.econbiz.de/10003347723
Persistent link: https://www.econbiz.de/10003305283
This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for p-polynomial processes. Then the generalized method of...
Persistent link: https://www.econbiz.de/10011318406