Bayesian inference in a stochastic volatility Nelson–Siegel model
N Hautsch, F Yang - Computational Statistics & Data Analysis, 2012 - Elsevier
… A Markov chain Monte Carlo (MCMC) algorithm is proposed to efficiently estimate the SVNS model using simulation-based inference. The SVNS model is applied to monthly US zero-…
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… A Markov chain Monte Carlo (MCMC) algorithm is proposed to efficiently estimate the SVNS model using simulation-based inference. The SVNS model is applied to monthly US zero-…