Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Skip to main content

Bayesian Versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions

  • Conference paper
Operations Research Proceedings 2005

Part of the book series: Operations Research Proceedings ((ORP,volume 2005))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Subscribe and save

Springer+ Basic
$34.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or eBook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 169.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 219.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  • Aït-Sahalia, Y., 2001, “Closed-Form Likelihood Expansions for Multivariate Diffusions,” Working paper, Princeton University and NBER.

    Google Scholar 

  • Aït-Sahalia, Y., 2002, “Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach,” Econometrica, 70, 223–262.

    Article  MATH  MathSciNet  Google Scholar 

  • Aït-Sahalia, Y., and R. Kimmel, 2002, “Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions,” Working paper, Princeton University and NBER.

    Google Scholar 

  • Brandt, M. W., and D. A. Chapman, 2002, “Comparing Multifactor Models of the Term Structure,” Working paper, Wharton School, McCombs School and NBER.

    Google Scholar 

  • Brandt, M. W., and P. He, 2002, “Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data,” Working paper, University of Pennsylvania.

    Google Scholar 

  • Cheridito, P., D. Filipović, and R. Kimmel, 2005, “Market Price of Risk Specifications for Affine Models: Theory and Evidence,” Journal of Financial Economics, forthcoming.

    Google Scholar 

  • Dai, Q., and K. J. Singleton, 2000, “Specification Analysis of Affine Term Structure Models,” Journal of Finance, 55, 1943–1978.

    Article  Google Scholar 

  • Duffee, G. R., 2002, “Term Premia and Interest Rate Forecasts in Affine Models,” Journal of Finance, 57, 405–443.

    Article  Google Scholar 

  • Duffie, D., and R. Kan, 1996, “A Yield-Factor Model of Interest Rates,” Mathematical Finance, 6, 379–406.

    MATH  Google Scholar 

  • Duffie, D., L. H. Pedersen, and K. J. Singleton, 2003, “Modeling Sovereign Yield Spreads: A Case Study of Russian Debt,” Journal of Finance, 53, 119–159.

    Article  Google Scholar 

  • Elerian, O., S. Chibb, and N. Shephard, 2001, “Likelihood Inference for Discretely Observed Nonlinear Diffusions,” Econometrica, 69, 959–993.

    Article  MATH  MathSciNet  Google Scholar 

  • Eraker, B., 2001, “MCMC Analysis of Diffusion Models with Application to Finance,” Journal of Business and Economic Statistics, 19, 177–191.

    Article  MathSciNet  Google Scholar 

  • Robert, C., and G. Casella, 1999, Monte Carlo Statistical Methods, Springer, New York.

    MATH  Google Scholar 

  • Yu, J., 2005, “Closed-Form Likelihood Estimation of Jump-Diffusions with an Application to the Realignment Risk of the Chinese Yuan,” Working Paper, Columbia University.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 2006 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Frühwirth, M., Schneider, P., Sögner, L. (2006). Bayesian Versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions. In: Haasis, HD., Kopfer, H., Schönberger, J. (eds) Operations Research Proceedings 2005. Operations Research Proceedings, vol 2005. Springer, Berlin, Heidelberg . https://doi.org/10.1007/3-540-32539-5_80

Download citation

Publish with us

Policies and ethics