Regime Switching and Bond Pricing
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- Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
- 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.
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- repec:bfr:rueban:2017:52 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.
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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
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