Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

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Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

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M. Lanne
P. Saikkonen

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Markku Lanne

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 2000-76.

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Handle: RePEc:wop:humbsf:2000-76

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Article
- Markku Lanne & Pentti Saikkonen, 2003. "Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 96-125.
Paper
- Markku Lanne & Pentti Saikkonen, 2001. "Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes," CeNDEF Workshop Papers, January 2001 PO5, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

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Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004. "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers 200424, Rutgers University, Department of Economics. [Downloadable!]
Other versions:
- Markus Haas & Stefan Mittnik & Bruce Mizrach, 2005. "Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies. [Downloadable!]
- Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006. "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, vol. 2(1), pages 28-54, April. [Downloadable!] (restricted)
Lanne , Markku, 2002. "Nonlinear dynamics of interest rate and inflation," Research Discussion Papers 21/2002, Bank of Finland. [Downloadable!]
Other versions:
- Markku Lanne, 2004. "Nonlinear dynamics of interest rate and inflation," Macroeconomics 0405014, EconWPA. [Downloadable!]
- Markku Lanne, 2006. "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168. [Downloadable!]
Tom Pak-wing Fong & Chun-shan Wong, 2008. "Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models," Working Papers 0813, Hong Kong Monetary Authority. [Downloadable!]
Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - DÃ©partement des Sciences Economiques) 2006006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
Other versions:
- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006. "Regime switching GARCH models," CORE Discussion Papers 2006011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006. "Regime switching GARCH models," Cahiers de recherche 06-08, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
Mandler, Martin, 2007. "The Taylor rule and interest rate uncertainty in the U.S. 1970-2006," MPRA Paper 2340, University Library of Munich, Germany, revised May 2009. [Downloadable!]

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