Bayesian comparison of several continuous time models of the Australian short rate

Accounting and Finance

Volumn 46, Issue 2, 2006, Pages 309-326

  Sanford, Andrew D ^a   Martin, Gael M ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Bayes factors; Bayesian analysis; Data augmentation; Interest rate models; Markov chain Monte Carlo

Indexed keywords

EID: 33744963768     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2006.00169.x     Document Type: Article

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