Analysis of multifactor affine yield curve models

DOI10.1198/JASA.2009.AP08029zbMATH Open1205.91173OpenAlexW2156256604MaRDI QIDQ3069869FDOQ3069869

Authors: Siddhartha Chib, Bakhodir Ergashev 

Publication date: 1 February 2011

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2009.ap08029

Recommendations

• scientific article; zbMATH DE number 1833959
• Forecasting the term structure of government bond yields
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Functional dynamic factor models with application to yield curve forecasting
• A Gaussian Process of Yield Rates Calibrated with Strips

zbMATH Keywords

Markov chain Monte Carlosimulated annealingBayesian analysisforecastingterm structureKalman filteringno-arbitrage conditionzero-coupon bondmetropolis-hastings algorithmsquare root filtertailored proposal density

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (20)

• Simulation-based Bayesian estimation of an affine term structure model
• DSGE models with Student-\(t\) errors
• A discrete/continuous choice model on a nonconvex budget set
• Title not available (Why is that?)
• Yield curve in an estimated nonlinear macro model
• Modeling Nelson-Siegel yield curve using Bayesian approach
• Weak informativity and the information in one prior relative to another
• Tailored randomized block MCMC methods with application to DSGE models
• Detection of structural breaks in a time-varying heteroskedastic regression model
• The effects of monetary policy regime shifts on the term structure of interest rates
• Restrictions on Risk Prices in Dynamic Term Structure Models
• Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework
• Efficient estimation and particle filter for max-stable processes
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Posterior manifolds over prior parameter regions: beyond pointwise sensitivity assessments for posterior statistics from MCMC inference
• The use of Bayes factors to compare interest rate term structure models
• Affine arbitrage-free yield net models with application to the euro debt crisis
• Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds
• Bayesian deconvolution of signals observed on arrays
• Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

This page was built for publication: Analysis of multifactor affine yield curve models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3069869)