Regime Switching and Bond Pricing
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- Malik, Sheheryar & Meldrum, Andrew, 2016.
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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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