Restrictions on Risk Prices in Dynamic Term Structure Models

DOI10.1080/07350015.2016.1164707MaRDI QIDQ6623174zbMATH OpenFDO

Authors Michael Bauer

Publication date 23 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2016.1164707

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A comment on D. V. Lindley's statistical paradox
• A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion
• Analysis of multifactor affine yield curve models
• Bayesian stochastic search for VAR model restrictions
• Benchmark priors for Bayesian model averaging.
• Empirical dynamic asset pricing: model specification and econometric assessment
• Estimation of affine term structure models with spanned or unspanned stochastic volatility
• Mixtures of g Priors for Bayesian Variable Selection
• Model uncertainty
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• The risk inflation criterion for multiple regression

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