Bayesian inference in a stochastic volatility Nelson-Siegel model
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Publication:1927156
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Cites work
- A theory of the term structure of interest rates
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An equilibrium characterization of the term structure
- Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
- Factor estimation using MCMC-based Kalman filter methods
- Forecasting the term structure of government bond yields
- scientific article; zbMATH DE number 849930 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- Interest rate dynamics and consistent forward rate curves
- Markov chain Monte Carlo methods for stochastic volatility models.
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Posterior predictive \(p\)-values
- Pricing interest-rate-derivative securities
- Simulation-based Bayesian estimation of an affine term structure model
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The macroeconomy and the yield curve: a dynamic latent factor approach
- The simulation smoother for time series models
Cited in
(14)- A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
- Affine arbitrage-free yield net models with application to the euro debt crisis
- Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
- Bayesian parameter inference for models of the Black and Scholes type
- Forecasting the term structure of interest rates using integrated nested Laplace approximations
- Prediction bias correction for dynamic term structure models
- Dynamic functional data analysis with non-parametric state space models
- Modeling Nelson-Siegel yield curve using Bayesian approach
- Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
- scientific article; zbMATH DE number 5494145 (Why is no real title available?)
- A Bayesian approach to term structure modeling using heavy-tailed distributions
- Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
- Bayesian inference for long memory term structure models
- Forecasting the yield curve: the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macro-economic factors
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