The use of Bayes factors to compare interest rate term structure models (Q5746770): Difference between revisions

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+https://doi.org/10.1080/14697688.2011.593541
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+W2070194209
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@@ Property / cites work @@
+On Gibbs sampling for state space models
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+Computing marginal likelihoods from a single MCMC output
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+Analysis of Multifactor Affine Yield Curve Models
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+Bayes inference in regression models with ARMA\((p,q)\) errors
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+Marginal Likelihood From the Metropolis–Hastings Output
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+Markov chain Monte Carlo methods for stochastic volatility models.
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+A Theory of the Term Structure of Interest Rates
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+An equilibrium characterization of the term structure
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