A Bayesian approach to term structure modeling using heavy‐tailed distributions

DOI10.1002/asmb.920zbMath1306.62215MaRDI QIDQ5414514

Carlos A. Abanto-Valle, Victor Hugo Lachos, Pulak Ghosh

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.920

zbMATH Keywords

interest rates; state space models; term structure; MCMC; scale mixture of normal distributions

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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Uses Software

• Scythe

Cites Work

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