Bayesian inference in a stochastic volatility Nelson-Siegel model (Q1927156)
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scientific article; zbMATH DE number 6119784
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| English | Bayesian inference in a stochastic volatility Nelson-Siegel model |
scientific article; zbMATH DE number 6119784 |
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Bayesian inference in a stochastic volatility Nelson-Siegel model (English)
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30 December 2012
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term structure of interest rates
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stochastic volatility
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dynamic factor model
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Markov chain Monte Carlo
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0.7857276797294617
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0.7802397012710571
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0.7731344103813171
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0.7674474120140076
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0.7668927311897278
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