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Mathematical finance / Bayesian statistics / Maximum likelihood / Expectation–maximization algorithm / Likelihood-ratio test / Stochastic volatility / Autoregressive conditional heteroskedasticity / Likelihood function / Statistics / Estimation theory / Statistical theory


Estimation of affine term structure models with spanned or unspanned stochastic volatility
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Document Date: 2015-01-12 11:52:18

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File Size: 858,30 KB

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Company

Cox / Elsevier B.V. / /

Country

Jordan / United States / /

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Facility

NBER Summer Institute / University of Chicago Booth School / /

IndustryTerm

analytical solution / particle filtering algorithm / Potential solutions / closed-form solution / /

Organization

Center for Research / the University of Chicago / University of Chicago Booth School of Business / NBER Summer Institute / IBM Faculty Research Fund / NYU / Bank of Canada / William Ladany Faculty Scholar Fund / /

Person

Ken Singleton / Frank Diebold / Michael Bauer / Drew D. Creal / Cynthia Wu / Alan Bester / Rob Engle / Jim Hamilton / Jensen / Guido Kuersteiner / John Cochrane / Jing Cynthia Wu / /

Position

Gaussian model / risk-free rt / rt / researcher / Corresponding author / short rate rt / /

ProgrammingLanguage

ML / /

ProvinceOrState

Kansas / Maryland / /

PublishedMedium

Seventeen / Journal of Econometrics / /

Technology

particle filtering algorithm / EM algorithm / /

URL

http /

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