Hautsch, Nikolaus; Yang, Fuyu - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
In this paper, we develop and apply Bayesian inference for an extended Nelson- Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...