Bayesian, MLE, and GMM Estimation of a Spot Rate Model (Q5712000)
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scientific article; zbMATH DE number 2240164
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian, MLE, and GMM Estimation of a Spot Rate Model |
scientific article; zbMATH DE number 2240164 |
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Bayesian, MLE, and GMM Estimation of a Spot Rate Model (English)
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22 December 2005
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generalized method of moments
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Griddy Gibbs
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Japanese call rate
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Markov chain Monte Carlo algorithms
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maximum likelihood estimator
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Monte Carlo experiments
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volatility elasticity
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