An infinite hidden Markov model for short-term interest rates
John M. Maheu, Qiao Yang
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Maheu, John M. ; Yang, Qiao |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part A, p. 202-220
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| Subject: | Hierarchical Dirichlet process prior | Beam sampling | Markov switching | MCMC | Markov-Kette | Markov chain | Theorie | Theory | Zins | Interest rate | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Stichprobenerhebung | Sampling | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.06.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011663269