Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
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Publication:4687502
DOI10.1002/for.2288zbMath1397.62431OpenAlexW1962209801MaRDI QIDQ4687502
Luiz Koodi Hotta, Márcio Poletti Laurini
Publication date: 12 October 2018
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.2288
analytical approximationBayesian inferenceterm structurelatent factorsaccurate out-of-sample forecasts
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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