Bayesian inference for long memory term structure models-Reference-Cited by-同舟云学术

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Bayesian inference for long memory term structure models

Published:2024-01-02 Issue:8 Volume:94 Page:1735-1759
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Valente Fernanda¹,Laurini Márcio¹

Affiliation:

1. Department of Economics, FEARP – University of São Paulo, São Paulo, Brazil

Funder

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Fundação de Amparo à Pesquisa do Estado de São Paulo

Coordenação de Aperfeiçoamento de Pessoal de Nível

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2023.2299938

Reference57 articles.

1. Brigo D, Mercurio F. Interest rate models – theory and practice: with smile, inflation and credit. Berlin, Heidelberg: Springer; 2006.

2. Yield Curve Modeling and Forecasting

3. Term-Structure Models

4. Term Structure Forecasting using Macro Factors and Forecast Combination

5. Forecasting government bond yields with large Bayesian vector autoregressions

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