Bayesian extensions to Diebold-Li term structure model
نویسندگان
چکیده
منابع مشابه
Bayesian Extensions to Diebold-li Term Structure Model
In this article we propose a statistical model to adjust, interpolate and forecast the term structure of interest rates. This model is based on extensions for the term structure model of interest rates proposed by [Diebold & Li, 2006], through a Bayesian estimation using Markov Chain Monte Carlo. The proposed extensions involve the use of a more flexible parametric form for the yield curve, mak...
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2010
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2010.08.010