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An Empirical Examination of Term Structure Models with Regime Shifts

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Author Info
Martin Sola
John Driffil
Turalay Kenc

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Abstract

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 65.

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Date of creation: 01 Aug 2003
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Handle: RePEc:sce:scecf3:65

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Related research
Keywords: Term structure of interest rates; bond yields; stochastic discount factor/pricing kernel; and regime switching.;

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Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

Cited by:
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  1. Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods and Applications, Springer, vol. 18(1), pages 87-107, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-2.

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