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Search: subject:"CIR and Vasicek models"
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CIR and Vasicek models
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Markov chain Monte Carlo algorithms
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Bayes-Statistik
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Block bootstrap
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Capital Asset Pricing Model
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Conditional Kolmogorov test
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Deviance information criterion
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Stochastischer Prozess
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block bootstrap
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conditional Kolmogorov test
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Shen, Xiangjin
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Tsurumi, Hiroki
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Department of Economics, Rutgers University-New Brunswick
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Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick
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Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models
Shen, Xiangjin
;
Tsurumi, Hiroki
-
2011
sampling to obtain the conditional Kolmogorov test. Two non-nested models we consider are the
CIR
and
Vasicek
models
for spot …
Persistent link: https://www.econbiz.de/10010282872
Saved in:
2
Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models
Shen, Xiangjin
;
Tsurumi, Hiroki
-
Department of Economics, Rutgers University-New Brunswick
-
2011
sampling to obtain the conditional Kolmogorov test. Two non-nested models we consider are the
CIR
and
Vasicek
models
for spot …
Persistent link: https://www.econbiz.de/10009372764
Saved in:
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