A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan

DOI10.1007/S10690-005-6021-1zbMATH Open1125.91359OpenAlexW2112437782MaRDI QIDQ816779FDOQ816779

Authors: N. E. Zubov 

Publication date: 23 February 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-005-6021-1

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Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• A theory of the term structure of interest rates
• Interest rate modelling.
• Title not available (Why is that?)
• Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom

Cited In (4)

• Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
• Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
• Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
• The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach

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