The use of Bayes factors to compare interest rate term structure models

DOI10.1080/14697688.2011.593541zbMath1280.91178OpenAlexW2070194209MaRDI QIDQ5746770

Carmelo Giaccotto, Po-Hsuan Hsu, W. Keener Hughen

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.593541

zbMATH Keywords

Bayesian analysisMonte Carlo methodsterm structurebond yields

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Bayes inference in regression models with ARMA\((p,q)\) errors
• Markov chain Monte Carlo methods for stochastic volatility models.
• A Theory of the Term Structure of Interest Rates
• Analysis of Multifactor Affine Yield Curve Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• On Gibbs sampling for state space models
• Marginal Likelihood From the Metropolis–Hastings Output
• Computing marginal likelihoods from a single MCMC output
• An equilibrium characterization of the term structure

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