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

DOI10.1198/JASA.2011.AP09764MaRDI QIDQ3095156zbMATH OpenOpenAlexWikidataFDO

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

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)

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(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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