Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Lower Bound-Reference-Cited by-同舟云学术

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Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Lower Bound

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Andreasen Martin M.,Meldrum Andrew

Publisher

Elsevier BV

Reference38 articles.

1. Quadratic term structure models: theory and evidence;D Ahn;The Review of Financial Studies,2002

2. Posterior Bayes factors;M Aitkin;Journal of the Royal Statistical Society,1991

3. Non-linear DSGE models and the Optimised Particle Filter;M M Andreasen;CREATES Research Paper,2010

4. Particle Markov chain Monte Carlo methods;C Andrieu;Journal of the Royal Statistical Society: Series B,2010

5. Interest rates as options;F Black;The Journal of Finance,1995

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Evaluating the robustness of UK term structure decompositions using linear regression methods;Journal of Banking & Finance;2016-06

2. Understanding Policy Rates at the Zero Lower Bound: Insights from a Bayesian Shadow Rate Model;SSRN Electronic Journal;2015

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