Long-run priors for term structure models
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- Lloyd, Simon P., 2020.
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- Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
- Lloyd, Simon, 2018. "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England working papers 763, Bank of England.
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More about this item
Keywords
Affine term structure model; shadow rate term structure model; Gibbs sampler;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-12-28 (Econometrics)
- NEP-MAC-2015-12-28 (Macroeconomics)
- NEP-ORE-2015-12-28 (Operations Research)
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