An Empirical Examination of Term Structure Models with Regime Shifts
Download full text from publisherTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- Kenc, Turalay & John Driffill & Martin Sola, 2003. "An Empirical Examination of Term Structure Models with Regime Shifts," Royal Economic Society Annual Conference 2003 119, Royal Economic Society.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.
- Monfort, A. & Pegoraro, F., 2007.
"Switching VARMA Term Structure Models - Extended Version,"
191, Banque de France.
- Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
- Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 87-107, March.
- Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013.
"No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth,"
Journal of Banking & Finance,
Elsevier, vol. 37(2), pages 389-402.
- Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
- Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
- Choi Seungmoon, 2009. "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-41, March.
More about this item
KeywordsTerm structure of interest rates; bond yields; stochastic discount factor/pricing kernel; and regime switching.;
- 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
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf3:65. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sceeeea.html .
We have no references for this item. You can help adding them by using this form .