The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach

DOI10.1016/j.automatica.2005.12.027zbMath1157.91353MaRDI QIDQ2507934

Carl Chiarella, Wolfgang J. Runggaldier, Ramaprasad Bhar, Hing Hung

Publication date: 5 October 2006

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2005.12.027

zbMATH Keywords

nonlinear filtering; Heath-Jarrow-Morton model; Bayesian estimation; interest rate models; libor rates

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

93E11: Filtering in stochastic control theory

91B24: Microeconomic theory (price theory and economic markets)