Estimating intractable non-linear term structure models

Peter Mikkelsen
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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)
Pages: 39 pages
Date: 2003-05-13
New Economics Papers: this item is included in nep-ecm, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:hhb:aarfin:2002_007

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