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...

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...

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular...

In the literature, many statistical models have been used to investigate the existence of a deterministic time trend, changing persistence and nonlinearity in macroeconomic and financial data. Good understanding of these properties in a univariate time series model is crucial when making...

Bayesian inference is developed and applied for an extended Nelson–Siegel 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. A Markov chain Monte Carlo (MCMC)...

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular...