Regime Switching and Bond Pricing
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- Malik, Sheheryar & Meldrum, Andrew, 2016.
"Evaluating the robustness of UK term structure decompositions using linear regression methods,"
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Elsevier, vol. 67(C), pages 85-102.
- Malik, Sheheryar & Meldrum, Andrew, 2014. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Bank of England working papers 518, Bank of England.
- Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
- repec:eee:econom:v:201:y:2017:i:2:p:348-366 is not listed on IDEAS
- Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017.
"Staying at zero with affine processes: An application to term structure modelling,"
Journal of Econometrics,
Elsevier, vol. 201(2), pages 348-366.
- Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
- A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet, 2015. "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers 558, Banque de France.
More about this item
Keywordsterm structure; regime switching; affine models; car process; multi-horizon Laplace transform; contagion; default risk; monetary policy.;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-25 (All new papers)
- NEP-FMK-2013-10-25 (Financial Markets)
- NEP-MAC-2013-10-25 (Macroeconomics)
- NEP-ORE-2013-10-25 (Operations Research)
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