Model Fitting of a Two-Factor Arbitrage-Free Model For the Term Structure of Interest Rates using Markov Chain Monte Carlo: Part 1: Theory and Methodology

2012

Additional Metadata
Keywords	Beyesian inference, MCMC, Metropolis-Hastings, Ornstein-Uhlenbeck, positive interest, term structure model
Persistent URL	hdl.handle.net/1765/39153
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Leuwattanachotinan, C., Cairns, A., & Streftaris, G. (2012). Model Fitting of a Two-Factor Arbitrage-Free Model For the Term Structure of Interest Rates using Markov Chain Monte Carlo: Part 1: Theory and Methodology. Retrieved from http://hdl.handle.net/1765/39153

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