{"title":"Bayesian inference for long memory term structure models","authors":"Fernanda Valente, Márcio Laurini","doi":"10.1080/00949655.2023.2299938","DOIUrl":null,"url":null,"abstract":"In this study, we propose a novel adaptation of the Dynamic Nelson–Siegel term structure model, incorporating long memory properties to enhance its forecasting accuracy. Our approach involves model...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":null,"pages":null},"PeriodicalIF":1.1000,"publicationDate":"2024-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Statistical Computation and Simulation","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/00949655.2023.2299938","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
引用次数: 0
Abstract
In this study, we propose a novel adaptation of the Dynamic Nelson–Siegel term structure model, incorporating long memory properties to enhance its forecasting accuracy. Our approach involves model...
期刊介绍：
Journal of Statistical Computation and Simulation ( JSCS ) publishes significant and original work in areas of statistics which are related to or dependent upon the computer.
Fields covered include computer algorithms related to probability or statistics, studies in statistical inference by means of simulation techniques, and implementation of interactive statistical systems.
JSCS does not consider applications of statistics to other fields, except as illustrations of the use of the original statistics presented.
Accepted papers should ideally appeal to a wide audience of statisticians and provoke real applications of theoretical constructions.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
