On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model

DOI10.1007/BF00868006zbMath1153.91771OpenAlexW1987055891MaRDI QIDQ1000392

Hiroshi Tsuda

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00868006

zbMATH Keywords

correction mechanism for mis-pricing between assetslong-term and short-term equilibrium levels of risk premiumstatistical yield spread modelthe state space smoothness priors approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

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