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No arbitrage priors, drifting volatilities, and the term structure of interest rates

Andrea Carriero

Publication Data

Title No arbitrage priors, drifting volatilities, and the term structure of interest rates
Author Andrea Carriero
Contributors Todd E. Clark, Massimiliano Marcellino, Centre for Economic Policy Research
Publisher Centre for Economic Policy Research
Publication date 2014
Publication location London
Language English

Topics

Government securities :: Mathematical models
Bayesian statistical decision theory

Catalogue Data

OBNB ID GBB5D8630
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book
Dewey Classification 332.6323201519542

ISBD

P1053 43 pages

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No arbitrage priors, drifting volatilities, and the term structure of interest rates by Andrea Carriero. Published by Centre for Economic Policy Research in 2014. Publication and catalogue information, links to buy online and reader comments.