A Bayesian approach to term structure modeling using heavy-tailed distributions

DOI10.1002/ASMB.920MaRDI QIDQ5414514zbMATH OpenOpenAlexFDO

Authors Carlos A. Abanto-Valle, V. H. Lachos, Pulak Ghosh

Publication date 6 May 2014

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.920

zbMATH Keywords

interest ratesMCMCscale mixture of normal distributionsstate space modelsterm structure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An arbitrage‐free generalized Nelson–Siegel term structure model
• An equilibrium characterization of the term structure
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.
• Bayesian inference in a stochastic volatility Nelson-Siegel model
• Bayesian Measures of Model Complexity and Fit
• Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
• Estimating the term structures of corporate debt
• Forecasting the term structure of government bond yields
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• scientific article; zbMATH DE number 5668407 (Why is no real title available?)
• scientific article; zbMATH DE number 3442988 (Why is no real title available?)
• Marginal Likelihood from the Gibbs Output
• Markov chains for exploring posterior distributions. (With discussion)
• The macroeconomy and the yield curve: a dynamic latent factor approach
• The multivariate skew-slash distribution
• The simulation smoother for time series models

Cited in

(7)

• Tensor voting: current state, challenges and new trends in the context of medical image analysis
• Estimating the term structure with a semiparametric Bayesian hierarchical model: an application to corporate bonds
• RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING
• Bayesian, MLE, and GMM Estimation of a Spot Rate Model
• scientific article; zbMATH DE number 5658695 (Why is no real title available?)
• Bayesian analysis of structural credit risk models with microstructure noises
• Slash distributions, generalized convolutions, and extremes

Describes a project that uses

Uses Software

• Scythe

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