Working Papers. 2640. A Bayesian analysis of the Cox-Ingersoll-Ross model
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Working Paper proposing a Gibbs sampler for Bayesian estimation of the Cox-Ingersoll-Ross interest rate model and deriving several of its asymptotic properties. It includes an application to US Treasury yields.
Who is affected
Researchers in econometrics and quantitative finance.
Plain-language version
A technical Bank of Spain paper proposes a new way of estimating a classic maths model used to describe how interest rates move. It tests it with US Treasury bonds. It is aimed at specialists and has no direct effect on your money.
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