Browsing by Author "Yang, Fuyu"

Now showing items 1-2 of 2

2010-01-20Diskussionspapier

Bayesian Estimation and Model Selection in theGeneralised Stochastic Unit Root Model

Yang, Fuyu; Leon-Gonzalez, Roberto

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, ...
2010-01-13Diskussionspapier

Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for ...