Regime switching in bond yield and spread dynamics
- Monfort, Alain
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References listed on IDEAS
- Pietro Veronesi & Francis Yared, 1999. "Short and Long Horizon Term and Inflation Risk Premia in the US Term Structure: Evidence from an Integrated Model for Nominal and Real Bond Prices under Regime Shifts," CRSP working papers 508, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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More about this item
KeywordsChangements de régime; Structure par terme des taux d’intérêt; Écarts de taux d’intérêt; Risque de crédit; Risque de liquidité; Politique monétaire; Processus composé auto-régressif; Regime switching; Term structure of interest rates; Yield spreads; Credit risk; Liquidity risk; Monetary policy; Compound auto-regressive process;
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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