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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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Nonparametric density estimation and tests of continuous time interest rate models
Pritsker, Matt - 1997
Persistent link: https://www.econbiz.de/10000633273
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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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Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema; Korn, Ralf; Desmettre, Sascha - In: The journal of computational finance 23 (2019) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
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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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Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz; Nkurunziza, Sévérien; Liu, Shuangzhe - In: Statistical inference, econometric analysis and matrix …, (pp. 255-270). 2009
Persistent link: https://www.econbiz.de/10003781036
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Sequential monitoring of the statistical properties of the univariate affine diffusion with application to interest
Schmid, Wolfgang (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491667
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Sequential monitoring of the parameters of a one-factor Cox-Ingersoll-Ross model
Schmid, Wolfgang; Tzotchev, Dobromir - 2003
Persistent link: https://www.econbiz.de/10001774748
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Panel data tests of return models with applications to global stock returns
Hjalmarsson, Erik - 2005
Persistent link: https://www.econbiz.de/10003553376
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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