Simulation-based Bayesian estimation of an affine term structure model
AD Sanford, GM Martin - Computational statistics & data analysis, 2005 - Elsevier
A Bayesian simulation-based method is developed for estimating a class of interest rate models known as affine term structure (ATS) models. The technique is based on a Markov chain …
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A Bayesian simulation-based method is developed for estimating a class of interest rate models known as affine term structure (ATS) models. The technique is based on a Markov chain …