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| Marcio Laurini |
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| ''Bayesian Factor Selection in Dynamic Term Structure Models'' |
| ( 2011, Vol. 31 No.3 ) |
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| This paper discusses Bayesian procedures for factor selection in dynamic
term structure models through simulation methods based on Markov Chain
Monte Carlo. The number of factors, besides influencing the fitting
and prediction of observed yields, is also relevant to features such
as the imposition of no-arbitrage conditions. We present a methodology
for selecting the best specification in the Nelson-Siegel class of
models using Reversible Jump MCMC. |
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| Keywords: Term Structure Models, Model Selection, MCMC, Nelson-Siegel |
JEL: C4 - Econometric and Statistical Methods: Special Topics
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| Manuscript Received : Apr 17 2011 | | Manuscript Accepted : Jul 25 2011 |
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