Bayesian inference for long memory term structure models
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Cites work
- A simple nonlinear time series model with misleading linear properties
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
- Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Bayes Factors
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Forecasting the term structure of government bond yields
- Forecasting the term structure of interest rates using integrated nested Laplace approximations
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- Fractional term structure models: No-arbitrage and consistency
- Gaussian Markov Random Fields
- Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Indirect inference in fractional short-term interest rate diffusions
- Interest rate models -- theory and practice. With smile, inflation and credit
- Long memory affine term structure models
- Long memory and regime switching
- Long memory continuous time models
- Long memory processes and fractional integration in econometrics
- Long memory relationships and the aggregation of dynamic models
- Long memory stochastic volatility : A bayesian approach
- Long memory story of the real interest rate
- Long‐Memory Time Series
- Markov chain Monte Carlo with the integrated nested Laplace approximation
- Memory and infrequent breaks
- On fast generation of fractional Gaussian noise
- State space modeling of long-memory processes
- Term-structure models. A graduate course
- The affine arbitrage-free class of Nelson-Siegel term structure models
- The macroeconomy and the yield curve: a dynamic latent factor approach
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