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Simulation-based Bayesian estimation of an affine term structure model

  • Sanford, Andrew D.
  • Martin, Gael M.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4CVR8W1-1/2/a00f17b4f8935886cd14557405c8e971
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 49 (2005)
Issue (Month): 2 (April)
Pages: 527-554

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Handle: RePEc:eee:csdana:v:49:y:2005:i:2:p:527-554
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Eraker, Bjorn, 2001. "MCMC Analysis of Diffusion Models with Application to Finance," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 177-91, April.
  2. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
  3. Neil Shephard & Ola Elerian & Siddhartha Chib, 1998. "Likelihood inference for discretely observed non-linear diffusions," Economics Series Working Papers 1998-W10, University of Oxford, Department of Economics.
  4. Christopher G. Lamoureux & H. Douglas Witte, 2002. "Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross," Journal of Finance, American Finance Association, vol. 57(3), pages 1479-1520, 06.
  5. Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
  6. David Jamieson Bolder, 2001. "Affine Term-Structure Models: Theory and Implementation," Working Papers 01-15, Bank of Canada.
  7. Konstantijn Maes & Konstantijn Maes, 2003. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," International Economics Working Papers Series wpie008, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
  8. Babbs, Simon H. & Nowman, K. Ben, 1999. "Kalman Filtering of Generalized Vasicek Term Structure Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 115-130, March.
  9. Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
  10. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
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