Browsing by Author "e656ac25-eaaa-4a78-8f90-31026e9e3125"
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Bayesian inference for term structure models
Martins, Thomas Correa e Silva (Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 09/06/2022)We explore recent advances in Bayesian methods in order to estimate the Vasicek, CIR and dynamic Nelson-Siegel (DNS) models for term structure of interest rates. The models are specified as state space time series. The ...