Analysis of Multifactor Affine Yield Curve Models

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Subfields: Finance

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DSGE Models with Student-t Errors (2014, methodology): “Our preferred method for constructing such a prior is to reason in terms of the implied distribution of the data (Chib and Ergashev, 2009; Del Negro and Schorfheide, 2008).”
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS: MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS (2017, unknown): “…contributes to the econometrics literature on Bayesian estimation of term structure models and vector autoregressions with stochastic volatility; see, e.g. Cogley and Sargent(2005), and Primiceri(2005) for VARs and Chib and Ergashev(2009) and Bauer(2015) for Gaussian affine term structure models.”
The Signaling Channel for Federal Reserve Bond Purchases (2013, unknown): “If the parameter is currently restricted to zero (γi = 0) the data is not informative about the parameter and we draw from a so-called pseudo-prior (Carlin and Chib, 1995; Dellaportas et al., 2002).”
Factor modeling for high-dimensional time series: inference for the number of factors (2012, unknown): “They are used to model different economic and financial phenomena, including, among others, asset pricing (Ross 1976) and allocation (Pesaran and Zaffaroni 2008), yield curves (Chib and Ergashev 2009), macroeconomic behaviour such as sector-effect or regional effect from disaggregated data (Quah and”
Tailored randomized block MCMC methods with application to DSGE models (2010, unknown): “mation”