Blar i NHH Brage på emneord "interest rates"
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Linkages among interest rates in the United States, Germany and Norway
(Report, Research report, 2000-10)The Johansen multivariate cointegration methodology is utilized to analyze relationships among short-term and long-term interest rates in the United States, Germany and Norway. A variance decomposition approach is applied ... -
MCMC analysis of diffusion models with application to finance
(Discussion paper, Working paper, 1998-03)In this paper a new method is proposed for estimation of parameters in diffusion processes from discrete observations. The proposed simulation based MCMC methodology applies to a wide class of models including systems with ...