Bayesian inference for long memory term structure models
Authors:
- 2 January 2024
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 94 (8) , 1735-1759
Abstract
No abstract availableKeywords
Funding Information
- Conselho Nacional de Desenvolvimento Científico e Tecnológico (306023/2018-0)
- Fundação de Amparo à Pesquisa do Estado de São Paulo (2018/04654-9)
- Coordenação de Aperfeiçoamento de Pessoal de Nível (Finance Code 001)
This publication has 44 references indexed in Scilit:
- Fractional term structure models: No-arbitrage and consistencyThe Annals of Applied Probability, 2009
- Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approachJournal of Econometrics, 2008
- Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting PerformanceSSRN Electronic Journal, 2007
- The macroeconomy and the yield curve: a dynamic latent factor approachJournal of Econometrics, 2006
- Forecasting the term structure of government bond yieldsJournal of Econometrics, 2006
- State space modeling of long-memory processesThe Annals of Statistics, 1998
- Long memory continuous time modelsJournal of Econometrics, 1996
- Long memory processes and fractional integration in econometricsJournal of Econometrics, 1996
- Bayes FactorsJournal of the American Statistical Association, 1995
- Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest RatesJournal of Money, Credit and Banking, 1993