An infinite hidden Markov model with GARCH for short-term interest rates
Chenxing Li, Qiao Yang
| Year of publication: |
2025
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|---|---|
| Authors: | Li, Chenxing ; Yang, Qiao |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 80.2025, Art.-No. 107294, p. 1-18
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| Subject: | Bayesian nonparametrics | Density forecasts | GARCH | Interest rates | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Zins | Interest rate | Theorie | Theory | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Zinsstruktur | Yield curve | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2025.107294 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015422517