Analysis of Multifactor Affine Yield Curve Models (Q3069869): Difference between revisions
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Latest revision as of 10:07, 20 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of Multifactor Affine Yield Curve Models |
scientific article |
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Analysis of Multifactor Affine Yield Curve Models (English)
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1 February 2011
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Bayesian analysis
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forecasting
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Kalman filtering
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Markov chain Monte Carlo
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metropolis-hastings algorithm
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no-arbitrage condition
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simulated annealing
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square root filter
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tailored proposal density
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term structure
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zero-coupon bond
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