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Tree-Structured Multiple Regimes in Interest Rates

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  • Audrino, Francesco

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 24 (2006)
Issue (Month): (July)
Pages: 338-353

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Handle: RePEc:bes:jnlbes:v:24:y:2006:p:338-353

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Cited by:
  1. Francesco Audrino, 2012. "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Society for Computational Economics, vol. 39(3), pages 315-335, March.
  2. Fabio Trojani & Francesco Audrino, 2005. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005 2005-04, Department of Economics, University of St. Gallen.
  3. Francesco Audrino & Enrico De Giorgi, 0. "Beta Regimes for the Yield Curve," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(3), pages 456-490.
  4. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen.
  5. David I. Harvey & Stephen J. Leybourne & Bin Xiao, 2007. "A powerful test for linearity when the order of integration is unknown [Revised to become No. 07/06 above]," Discussion Papers 07/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  6. Francesco Audrino & Marcelo Cunha Medeiros, 2010. "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussão 570, Department of Economics PUC-Rio (Brazil).
  7. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen.
  8. David I. Harvey & Stephen J. Leybourne & Bin Xiao, 2007. "A powerful test for linearity when the order of integration is unknown," Discussion Papers 07/06, University of Nottingham, Granger Centre for Time Series Econometrics.

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