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Specification analysis of affine term structure models

Dai, Qiang; Singleton, Kenneth J. - 1997

Persistent link: https://www.econbiz.de/10000637523

Semi-parametric modelling of the term structure

Bianchi, Marco; Orszag, Jonathan Michael; Steeley, James M. - 1997

Persistent link: https://www.econbiz.de/10000956524

Estimating LIBOR swaps spot-volatilities : the EpiVolatility model

Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004

Persistent link: https://www.econbiz.de/10003487959

Recursive Bayesian estimation in forward price models implied by fair pricing

El Qalli, Yassine - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 301-333

Persistent link: https://www.econbiz.de/10008860389

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …