Bayesian, MLE, and GMM Estimation of a Spot Rate Model

DOI10.1080/03610920500313759MaRDI QIDQ5712000zbMATH OpenOpenAlexFDO

Authors Xufeng Qian, Rie Ashizawa, Hiroki Tsurumi

Publication date 22 December 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920500313759

zbMATH Keywords

generalized method of momentsGriddy GibbsJapanese call rateMarkov chain Monte Carlo algorithmsmaximum likelihood estimatorMonte Carlo experimentsvolatility elasticity

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40)

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• An equilibrium characterization of the term structure
• An Intertemporal Capital Asset Pricing Model
• Generating Random Variates Using Transformations with Multiple Roots
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Two singular diffusion problems

Cited in

(6)

• RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING
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• Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models
• Bayesian Inference of the Regression Model with Error Terms Following the Exponential Power Distribution and Unbiasedness of the LAD Estimator
• The use of Bayes factors to compare interest rate term structure models
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