Simulation-Based Bayesian Estimation of Affine Term Structure Models
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- Sanford, Andrew D. & Martin, Gael M., 2005. "Simulation-based Bayesian estimation of an affine term structure model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 527-554, April.
References listed on IDEAS
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"Bayesian inference in a Stochastic Volatility Nelson–Siegel model,"
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- Hautsch, Nikolaus & Yang, Fuyu, 2010. "Bayesian inference in a stochastic volatility Nelson-Siegel Model," SFB 649 Discussion Papers 2010-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Andrew D. Sanford & Gael Martin, 2004. "Bayesian Analysis of Continuous Time Models of the Australian Short Rate," Monash Econometrics and Business Statistics Working Papers 11/04, Monash University, Department of Econometrics and Business Statistics.
- Yasuhiro Omori & Toshiaki Watanabe, 2003.
"Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors,"
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CIRJE-F-221, CIRJE, Faculty of Economics, University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors," CARF F-Series CARF-F-104, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors," CIRJE F-Series CIRJE-F-508, CIRJE, Faculty of Economics, University of Tokyo.
- Juneja, Januj, 2017. "Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 292-305.
- Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
- Richard Finlay & Mark Chambers, 2009.
"A Term Structure Decomposition of the Australian Yield Curve,"
The Economic Record, The Economic Society of Australia, vol. 85(271), pages 383-400, December.
- Richard Finlay & Mark Chambers, 2008. "A Term Structure Decomposition of the Australian Yield Curve," RBA Research Discussion Papers rdp2008-09, Reserve Bank of Australia.
- Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
- Peter Feldhütter, 2016. "Can Affine Models Match the Moments in Bond Yields?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-56, June.
- Andrew D. Sanford & Gael M. Martin, 2006. "Bayesian comparison of several continuous time models of the Australian short rate," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(2), pages 309-326, June.
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More about this item
Keywords
Interest Rate Models; Markov Chain Monte Carlo; Data Augmentation; Nonlinear State Space Models; Kalman Filtering.;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2003-09-28 (Computational Economics)
- NEP-ECM-2003-09-28 (Econometrics)
- NEP-ETS-2003-09-28 (Econometric Time Series)
- NEP-FIN-2003-09-28 (Finance)
- NEP-RMG-2003-09-28 (Risk Management)
Statistics
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