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Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting.

Paresh DateChieh Wang
Published in: Eur. J. Oper. Res. (2009)
Keyphrases
  • linear gaussian
  • bayesian networks
  • prior knowledge
  • probabilistic model
  • complex systems
  • motion model
  • network structure
  • continuous variables
  • dynamic bayesian networks