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Search: subject:"Markov Chain Monte Carlo (MCMC) algorithm"
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Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-Ping
;
Feng, Yun
;
Wu, Chong-Feng
;
Xu, Wei-Dong
- In:
Economic Modelling
30
(
2013
)
C
,
pp. 863-874
/JPY forward exchange rates. We use the Kalman filter approach to estimate the model and
Markov
Chain
Monte
Carlo
(
MCMC
)
algorithm
…
Persistent link: https://www.econbiz.de/10010608256
Saved in:
2
Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-ping
;
Feng, Yun
;
Wu, Chong-feng
;
Xu, Wei-dong
- In:
Economic modelling
30
(
2013
),
pp. 863-874
Persistent link: https://www.econbiz.de/10009708784
Saved in:
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