An online estimation scheme for a Hull–White model with HMM-driven parameters
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Volume (Year): 18 (2009)
Issue (Month): 1 (March)
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- Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 477-496.
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