Analysis of multifactor affine yield curve models

DOI10.1198/JASA.2009.AP08029MaRDI QIDQ3069869zbMATH OpenOpenAlexFDO

Authors Siddhartha Chib, Bakhodir Ergashev

Publication date 1 February 2011

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/jasa.2009.ap08029

zbMATH Keywords

Bayesian analysisforecastingKalman filteringMarkov chain Monte Carlometropolis-hastings algorithmno-arbitrage conditionsimulated annealingsquare root filtertailored proposal densityterm structurezero-coupon bond

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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