Estimating intractable non-linear term structure models

Peter Mikkelsen
Additional contact information
Peter Mikkelsen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark

No 02-7, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Keywords: Markov chain Monte Carlo; non-linear state space models; non-Gaussian HJM; LIBOR market model (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-mac and nep-mon
Date: Written 2003-05-13

Downloads: (external link)
http://www.hha.dk/fin/finance/Research/D02_7.PDF (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies
Address: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Contact information at EDIRC.
Series data maintained by Helle Vinbaek Stenholt ().