Modeling the conditional distribution of interest rates as a regime-switching process
AbstractReplicates work on Markov-switching GARCH models from Gray(1996), "Modeling the conditional distribution of interest rates as a regime-switching process", J. of Financial Economics, vol 42, pp 27-62. Makes extensive use of the functions on markov.src.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Economics.
Volume (Year): 42 (1996)
Issue (Month): 1 (September)
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Web page: http://www.elsevier.com/locate/inca/505576
Other versions of this item:
- Tom Doan, . "RATS programs to replicate Gray's 1996 Regime Switching GARCH paper," Statistical Software Components RTZ00080, Boston College Department of Economics.
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