Model Fitting of a Two-Factor Arbitrage-Free Model for the Term Structure of Interest Rates using Markov Chain Monte Carlo: Part 2: Applications with UK Data

2012

Additional Metadata
Keywords	MCMC, Metropolis-Hastings, annuity pricing, parameter uncertainty, term structure model, two-factor Cairns model, two-factor Vasicek model, yield curve forecasting
Persistent URL	hdl.handle.net/1765/39154
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 2: Applications with UK Data. Retrieved from http://hdl.handle.net/1765/39154

Publication