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Bayesian inference in a stochastic volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - 2010
In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...
Persistent link: https://www.econbiz.de/10003952795
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874
Persistent link: https://www.econbiz.de/10009708784
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
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Volatility, estimates of the short-term interest rate with an application to German data
Dankenbring, Henning - In: Kredit und Kapital 33 (2000) 4, pp. 548-570
Persistent link: https://www.econbiz.de/10001554586
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
Persistent link: https://www.econbiz.de/10000997987
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Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods
Hahn, Markus; Putschögl, Wolfgang; Sass, Jörn - In: Operations research proceedings 2006 : selected papers …, (pp. 227-232). 2007
Persistent link: https://www.econbiz.de/10003470697
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A structured variational learning approach for switching latent factor models
Saidane, Mohamed; Lavergne, Christian - In: Advances in statistical analysis : AStA ; a journal of … 91 (2007) 3, pp. 245-268
Persistent link: https://www.econbiz.de/10003558111