Testing the term structure of interest rates from a stationary switching Regime VAR
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Bibliographic Info
Paper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 9202.Length:
Date of creation: 01 Jan 1992
Date of revision:
Handle: RePEc:stn:sotoec:9202
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004.
"On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts,"
CEPR Discussion Papers
4165, C.E.P.R. Discussion Papers.
- John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo, 2008. "On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts," Department of Economics Working Papers 2008-04, Universidad Torcuato Di Tella.
- Allan Timmermann & M. Hashem Pesaran, 2003.
"How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?,"
CESifo Working Paper Series
875, CESifo Group Munich.
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
- Pesaran, H.M. & Timmermann, A., 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics 0306, Faculty of Economics, University of Cambridge.
- Catão, Luis A. V. & Timmermann, Allan G, 2004.
"Country and Industry Dynamics in Stock Returns,"
CEPR Discussion Papers
4368, C.E.P.R. Discussion Papers.
- Luis Catão & Allan Timmermann, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund.
- Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
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