An infinite hidden Markov model with GARCH for short-term interest rates
Year of publication: |
2025
|
---|---|
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
|
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 |
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