Modelling interest rate volatility: Regime switches and level links
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Bibliographic InfoArticle provided by Springer in its journal Weltwirtschaftliches Archiv.
Volume (Year): 132 (1996)
Issue (Month): 2 (September)
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Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- Erlandsson, Ulf, 2002. "Regime Switches in Swedish Interest Rates," Working Papers 2002:5, Lund University, Department of Economics, revised 26 Aug 2003.
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