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Modeling the conditional distribution of interest rates as a regime-switching process

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  • Gray, Stephen F.

Abstract

Replicates 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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Suggested Citation

  • Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September.
  • Handle: RePEc:eee:jfinec:v:42:y:1996:i:1:p:27-62
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