Modeling Nelson–Siegel Yield Curve Using Bayesian Approach

DOI10.1007/978-3-030-11364-3_12zbMath1422.91737arXiv1809.06077OpenAlexW2889972364MaRDI QIDQ5227363

Sourish Das

Publication date: 26 July 2019

Published in: New Economic Windows (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.06077

zbMATH Keywords

Bayesian statistical methodsNelson-Siegel yield curve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• NUTS

Cites Work

• Forecasting the term structure of government bond yields
• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• On dynamic generalized linear models with applications
• Adaptive dynamic Nelson-Siegel term structure model with applications
• Functional dynamic factor models with application to yield curve forecasting
• On Bayesian inference for generalized multivariate gamma distribution
• Statistical decision theory and Bayesian analysis. 2nd ed
• Bayesian inference in a stochastic volatility Nelson-Siegel model
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