Fuyu Yang

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK 10099

Germany

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Spandauer Strasse 1

Berlin, D-10178

Germany

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Scholarly Papers (1)

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Bayesian Inference in a Stochastic Volatility Nelson–Siegel Model

Computational Statistics & Data Analysis, Forthcoming
Number of pages: 19 Posted: 25 Aug 2010
Nikolaus Hautsch and Fuyu Yang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
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Abstract:

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Term structure of interest rates, Stochastic volatility, Dynamic factor model, Markov chain Monte Carlo