Estimating the term structure with a semiparametric Bayesian hierarchical model: an application to corporate bonds

DOI10.1198/JASA.2011.AP09764zbMATH Open1232.62137OpenAlexW1980161159WikidataQ42797161 ScholiaQ42797161MaRDI QIDQ3095156FDOQ3095156

Authors: Alejandro Cruz-Marcelo, Gary L. Rosner, Katherine Bennett Ensor 

Publication date: 28 October 2011

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

Full work available at URL: http://europepmc.org/articles/pmc3134883

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zbMATH Keywords

yield curveDirichlet process mixturesnonparametric Bayescredit spreadtreasury bond

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) General nonlinear regression (62J02) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (3)

• Time series of functional data with application to yield curves
• Dynamic regression models for time-ordered functional data
• Estimating the term structures of corporate debt

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