Priors and Bayesian parameter estimation of affine term structure models
Year of publication: |
2014
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Authors: | Sögner, Leopold |
Published in: |
International journal of computational economics and econometrics. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1170, ZDB-ID 2550146-X. - Vol. 4.2014, 3/4, p. 288-319
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Subject: | affine term-structure models | MCMC | Markov chain Monte Carlo | near unit root behaviour | Zinsstruktur | Yield curve | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Einheitswurzeltest | Unit root test |
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