Analysis of multifactor affine yield curve models

DOI10.1198/JASA.2009.AP08029MaRDI QIDQ3069869zbMATH OpenOpenAlexFDO

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

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)

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