Bayesian Estimation of Econometric Multi-Factor Cox-Ingersoll-Ross-Models of the Term Structure of Interest Rates Via MCMC Methods

Sylvia Frühwirth-Schnatter
Department of Statistics
- Alois L.J. Geyer
Department of Operations Research

Vienna University of Economics and Business Administration

 
• Introduction
• State Space Formulation of the Multi-Factor Cox-Ingersoll-Ross-Model
• Bayesian Estimation of the CIR-Model via
  Markov-chain-Monte-Carlo Methods
  • Bayesian Estimation of state space models via Markov-chain-Monte-Carlo Methods
  • Sampling from the Full Conditionals for the CIR-Model
• Empirical Analysis
  • Data description
  • Starting Values, Assessing Convergence and Constructing the Final MCMC sample
  • Exploring the MCMC Sample
• Concluding Remarks
• About this document ...