Estimating the Term Structure With a Semiparametric Bayesian Hierarchical Model: An Application to Corporate Bonds

DOI10.1198/jasa.2011.ap09764zbMath1232.62137OpenAlexW1980161159WikidataQ42797161 ScholiaQ42797161MaRDI QIDQ3095156

Gary L. Rosner, Alejandro Cruz-Marcelo, 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

zbMATH Keywords

yield curvecredit spreadnonparametric BayesDirichlet process mixturestreasury bond

Mathematics Subject Classification ID

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

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