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Estimating intractable non-linear term structure models

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Author Info
Mikkelsen, Peter (Department of Finance, Aarhus School of Business)
Abstract

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Publisher Info
Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 02-7.

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Length: 39 pages
Date of creation: 13 May 2003
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Handle: RePEc:hhb:aarfin:2002_007

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Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Fax: + 45 86 15 19 43
Web page: http://www.asb.dk/about/departments/bs.aspx
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Related research
Keywords: Markov chain Monte Carlo; non-linear state space models; non-Gaussian HJM; LIBOR market model;

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