Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data (Q702234)
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scientific article; zbMATH DE number 2128594
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| 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)
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17 January 2005
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Bayesian state space representation
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dynamic bond pricing model
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Kalman filter
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random cash-flow discount function
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0.858123242855072
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0.7526481747627258
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0.7274582982063293
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0.7117589712142944
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0.7043148279190063
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