Analysis of multifactor affine yield curve models (Q3069869)
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scientific article; zbMATH DE number 5843477
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| English | Analysis of multifactor affine yield curve models |
scientific article; zbMATH DE number 5843477 |
Statements
Analysis of Multifactor Affine Yield Curve Models (English)
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1 February 2011
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Bayesian analysis
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forecasting
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Kalman filtering
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Markov chain Monte Carlo
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metropolis-hastings algorithm
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no-arbitrage condition
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simulated annealing
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square root filter
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tailored proposal density
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term structure
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zero-coupon bond
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0.7921953797340393
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0.7775036692619324
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0.7765575051307678
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0.7694471478462219
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