Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data (Q702234)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 2128594
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data |
scientific article; zbMATH DE number 2128594 |
Statements
Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data (English)
0 references
17 January 2005
0 references
Bayesian state space representation
0 references
dynamic bond pricing model
0 references
Kalman filter
0 references
random cash-flow discount function
0 references
0.858123242855072
0 references
0.7526481747627258
0 references
0.7274582982063293
0 references
0.7117589712142944
0 references
0.7043148279190063
0 references
