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Citations for "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates"

by Hamilton, James D.

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  1. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  3. Jääskelä, Jarkko & Vilmunen, Jouko, 1999. "Anticipated monetary policy and the dynamic behaviour of the term structure of interest rates," Research Discussion Papers 12/1999, Bank of Finland.
  4. Doğan, İbrahim & Bilgili, Faik, 2014. "The non-linear impact of high and growing government external debt on economic growth: A Markov Regime-switching approach," Economic Modelling, Elsevier, vol. 39(C), pages 213-220.
  5. repec:hal:journl:halshs-00423890 is not listed on IDEAS
  6. Charlotte Christiansen, 2004. "Regime switching in the yield curve," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(4), pages 315-336, 04.
  7. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  8. María-José Gutiérrez & Jesús Vázquez, 2001. "The Changing Behavior Of The Term Structure Of Post-War U.S. Interest Rates And Changes In The Federal Reserve Chairman: Is There A Link?," Working Papers 01-03, Asociación Española de Economía y Finanzas Internacionales.
  9. Lanne, Markku, 1999. "Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift," Research Discussion Papers 20/1999, Bank of Finland.
  10. Shi, Yanlin & Ho, Kin-Yip & Liu, Wai-Man, 2016. "Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 291-312.
  11. Jeanne, Olivier & Masson, Paul, 2000. "Currency crises, sunspots and Markov-switching regimes," Journal of International Economics, Elsevier, vol. 50(2), pages 327-350, April.
  12. Graciela L. Kaminsky & Karen K. Lewis, 1996. "Does foreign exchange intervention signal future monetary policy?," Working Papers 96-7, Federal Reserve Bank of Philadelphia.
  13. Yu-Fu Chen & Michael Funke, 2004. "Cyclical Uncertainty And Physical Investment Decisions," Money Macro and Finance (MMF) Research Group Conference 2004 89, Money Macro and Finance Research Group.
  14. Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2004. "Federal funds rate prediction," Working Papers 2002-005, Federal Reserve Bank of St. Louis.
  15. James D. Hamilton & Tatsuyoshi Okimoto, 2011. "Sources of variation in holding returns for fed funds futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(3), pages 205-229, 03.
  16. Robert J. Elliott & William C. Hunter & Barbara M. Jamieson, 2000. "Financial signal processing: a self calibrating model," Working Paper Series WP-00-21, Federal Reserve Bank of Chicago.
  17. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014. "Revisiting Herding Behavior in REITs: A RegimeSwitching Approach," Working Papers 15-15, Eastern Mediterranean University, Department of Economics.
  18. Salem Boubakri & Cyriac Guillaumin, 2011. "Financial integration and currency risk premium in CEECs : evidence from the ICAPM," Post-Print halshs-00639224, HAL.
  19. RUGE-MURCIA, Francisco J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Universite de Montreal, Departement de sciences economiques.
  20. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2012. "How does fiscal policy react to wealth composition and asset prices?," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 874-890.
  21. Date, P. & Mamon, R. & Wang, I.C., 2007. "Valuation of cash flows under random rates of interest: A linear algebraic approach," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 84-95, July.
  22. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
  23. Nelson C. Mark & Young-Kyu Moh, 2005. "The real exchange rate and real interest differentials: the role of nonlinearities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 323-335.
  24. Daouk, Hazem & Guo, Jie Qun, 2003. "Switching Asymmetric GARCH and Options on a Volatility Index," Working Papers 127187, Cornell University, Department of Applied Economics and Management.
  25. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
  26. Andrew Ang & Geert Bekaert & Min Wei, 2007. "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers 12930, National Bureau of Economic Research, Inc.
  27. David I. Harvey & Stephen J. Leybourne & Bin Xiao, 2007. "A powerful test for linearity when the order of integration is unknown [Revised to become No. 07/06 above]," Discussion Papers 07/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  28. Huang, Roger D. & Lin, Charles S. Y., 1996. "An analysis of nonlinearities in term premiums and forward rates," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 347-368, December.
  29. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
  30. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso problem" explanations for term structure anomalies," Working Paper Series, Issues in Financial Regulation WP-97-07, Federal Reserve Bank of Chicago.
  31. Todd Walker & Eric Leeper & Troy Davig, 2010. "Inflation and the Fiscal Limit," 2010 Meeting Papers 837, Society for Economic Dynamics.
  32. repec:cuf:journl:y:2014:v:15:i:2:abiad is not listed on IDEAS
  33. Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
  34. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 211-250.
  35. Charles Engel, 1991. "Can the Markov switching model forecast exchange rates?," Research Working Paper 91-04, Federal Reserve Bank of Kansas City.
  36. Graciela L. Kaminsky & Leonardo Leiderman, 1996. "High real interest rates in the aftermath of disinflation: is it a lack of credibility?," International Finance Discussion Papers 543, Board of Governors of the Federal Reserve System (U.S.).
  37. Duan, Jin-Chuan & Simonato, Jean-Guy, 1999. "Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 111-35, September.
  38. Peter Tillmann, 2001. "The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials," IWP Discussion Paper Series 02/2001, Institute for Economic Policy, Cologne, Germany.
  39. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
  40. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  41. Giampiero M. Gallo & Massimiliano Marcellino, . "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  42. G. William Schwert, 1989. "Stock Volatility and the Crash of '87," NBER Working Papers 2954, National Bureau of Economic Research, Inc.
  43. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
  44. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
  45. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
  46. Christiansen, Charlotte, 2001. "Long Maturity Forward Rates," Finance Working Papers 01-12, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  47. Roman Frydman & Michael Goldberg, 2015. "Change and Rationality in Macroeconomics and Finance Theory: A New Rational Expectations Hypothesis," Working Papers Series 8, Institute for New Economic Thinking.
  48. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
  49. Philip Arestis & Kostas Mouratidis, 2003. "Is There A Trade-Off Between Inflation Variability And Output-Gap Variability in The EMU Countries?," Macroeconomics 0301005, EconWPA.
  50. Vázquez Pérez, Jesús, 2002. "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," DFAEII Working Papers 2002-33, University of the Basque Country - Department of Foundations of Economic Analysis II.
  51. John R. Freeman & Jude C. Hays & Helmut Stix, 1999. "Democracy and Markets: The Case of Exchange Rates," Working Papers 39, Oesterreichische Nationalbank (Austrian Central Bank).
  52. Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," CEPR Discussion Papers 3983, C.E.P.R. Discussion Papers.
  53. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
  54. Jeffrey C. Fuhrer, 1995. "Modeling long-term nominal interest rates," Working Papers 95-7, Federal Reserve Bank of Boston.
  55. Choi, Woon Gyu, 1999. "Estimating the Discount Rate Policy Reaction Function of the Monetary Authority," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 379-401, July-Aug..
  56. Gelman, Sergey & Wilfling, Bernd, 2009. "Markov-switching in target stocks during takeover bids," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 745-758, December.
  57. Iulia LUPU, 2015. "European Stock Markets Correlations In A Markov Switching Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 103-119, September.
  58. Roman Frydman & Michael Goldberg & Nicholas Mangee, 2015. "New Evidence for the Present-Value Model of Stock Prices: Why the REH Version Failed Empirically," Working Papers Series 2, Institute for New Economic Thinking.
  59. Lange, Ron, 1999. "The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada," Staff Working Papers 99-20, Bank of Canada.
  60. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
  61. Jardet, Caroline, 2008. "Term structure anomalies: Term premium or peso-problem?," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 592-608, June.
  62. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
  63. Han, Liyan & Zhou, Yimin & Yin, Libo, 2015. "Exogenous impacts on the links between energy and agricultural commodity markets," Energy Economics, Elsevier, vol. 49(C), pages 350-358.
  64. Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute for the Study of Labor (IZA).
  65. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
  66. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
  67. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  68. José Luis Fernández-Serrano & M. Dolores Robles Fernández, 2004. "Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español," Investigaciones Economicas, Fundación SEPI, vol. 28(2), pages 349-376, May.
  69. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-80, August.
  70. John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo, 2008. "On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts," Department of Economics Working Papers 2008-04, Universidad Torcuato Di Tella.
  71. Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
  72. Gollier, Christian & Koundouri, Phoebe & Pantelidis, Theologos, 2008. "Declining Discount Rates: Economic Justifications and Implications for Long-Run Policy," IDEI Working Papers 525, Institut d'Économie Industrielle (IDEI), Toulouse.
  73. Pontines, Victor & Siregar, Reza Y., 2010. "Fear of Appreciation in East and Southeast Asia: The Role of the Chinese Renminbi," MPRA Paper 25408, University Library of Munich, Germany.
  74. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
  75. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working Papers 0801, University of Nevada, Las Vegas , Department of Economics.
  76. repec:onb:oenbwp:y::i:131:b:1 is not listed on IDEAS
  77. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  78. Penttinen, Aku, 2000. "Devaluation-risk-related peso problems in stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 181-197, June.
  79. Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," FRB Atlanta Working Paper 2006-22, Federal Reserve Bank of Atlanta.
  80. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2015. "The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 301-313.
  81. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  82. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
  83. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  84. Yu-Fu Chen & Michael Funke, 2009. "Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty," Dundee Discussion Papers in Economics 225, Economic Studies, University of Dundee.
  85. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
  86. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, vol. 4(4), pages 403-423, December.
  87. Maheu, John M. & McCurdy, Thomas H., 2000. "Volatility dynamics under duration-dependent mixing," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 345-372, November.
  88. Costas Milas & Ilias Lekkos & Theodore Panagiotidis, 2006. "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Keele Economics Research Papers KERP 2006/05, Centre for Economic Research, Keele University.
  89. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
  90. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
  91. repec:hal:journl:halshs-00375765 is not listed on IDEAS
  92. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
  93. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.
  94. Nael Al-Anaswah & Bernd Wilfling, 2009. "Identification of speculative bubbles using state-space models with Markov-switching," CQE Working Papers 0309, Center for Quantitative Economics (CQE), University of Muenster.
  95. Agnello, Luca & Dufrénot, Gilles & Sousa, Ricardo M., 2013. "Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices," Economic Modelling, Elsevier, vol. 34(C), pages 25-36.
  96. Monika Kośko & Marta Kwiecień & Joanna Stempińska, 2016. "Przełącznikowe modele Markowa (MS) – charakterystyka i sposoby zastosowań w badaniach ekonomicznych," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 40, pages 479-490.
  97. Verónica Balzarotti, 2007. "Real Interest Rate Risk in the Argentine Banking System. A Measuring Model," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(46), pages 7-61, January -.
  98. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
  99. repec:hal:journl:halshs-00187875 is not listed on IDEAS
  100. Liu, Wen-Hsien & Chung, Ching-Fan & Chang, Kuang-Liang, 2013. "Inventory change, capacity utilization and the semiconductor industry cycle," Economic Modelling, Elsevier, vol. 31(C), pages 119-127.
  101. Shively, Philip A., 2005. "Threshold nonlinear interest rates," Economics Letters, Elsevier, vol. 88(3), pages 313-317, September.
  102. Telatar, Erdinc & Telatar, Funda & Bolatoglu, Nasip, 2007. "A regime switching approach to the Feldstein-Horioka puzzle: Evidence from some European countries," Journal of Policy Modeling, Elsevier, vol. 29(3), pages 523-533.
  103. Ruge-Murcia, Francisco J., 1999. "Government expenditure and the dynamics of high inflation," Journal of Development Economics, Elsevier, vol. 58(2), pages 333-358, April.
  104. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
  105. repec:hhs:bofrdp:1999_012 is not listed on IDEAS
  106. Bilgili, Faik & Tülüce, Nadide Sevil Halıcı & Doğan, İbrahim, 2012. "The determinants of FDI in Turkey: A Markov Regime-Switching approach," Economic Modelling, Elsevier, vol. 29(4), pages 1161-1169.
  107. Victor Pontines & Reza Siregar, 2009. "Tranquil and crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of the DCC procedure," Applied Financial Economics, Taylor & Francis Journals, vol. 19(9), pages 745-752.
  108. Dahlquist, Magnus & Gray, Stephen F., 2000. "Regime-switching and interest rates in the European monetary system," Journal of International Economics, Elsevier, vol. 50(2), pages 399-419, April.
  109. Tillmann, Peter, 2005. "Private sector involvement in the resolution of financial crises: How do markets react?," Journal of Development Economics, Elsevier, vol. 78(1), pages 114-132, October.
  110. James A. Kahn & Robert W. Rich, 2006. "Tracking productivity in real time," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 12(Nov).
  111. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(02), pages 373-401, June.
  112. Ito, Hiro, 2003. "Was Japan’s Real Interest Rate Really Too High During the 1990s? The Role of the Zero Interest Rate Bound and Other Factors," Santa Cruz Center for International Economics, Working Paper Series qt48k5q6vd, Center for International Economics, UC Santa Cruz.
  113. T.P.Koirala Ph.D., 2013. "Time-Varying Parameters of Inflation Model in Nepal: State Space Modeling," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 25(2), pages 66-77, October.
  114. Weber, Enzo & Wolters, Jürgen, 2010. "Risk and Policy Shocks on the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 438, University of Regensburg, Department of Economics.
  115. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society.
  116. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
  117. repec:hal:journl:halshs-00185373 is not listed on IDEAS
  118. Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics, Finance and Accounting Department Working Paper Series n1480105, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  119. Philip A. Shively, 2005. "The nonlinear dynamics of interest rates," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 71-74, March.
  120. Beyaert, Arielle & Garcia-Solanes, Jose & Perez-Castejon, Juan J., 2007. "Uncovered interest parity with switching regimes," Economic Modelling, Elsevier, vol. 24(2), pages 189-202, March.
  121. Isabel Casas & Irene Gijbels, 2009. "Unstable volatility functions: the break preserving local linear estimator," CREATES Research Papers 2009-48, Department of Economics and Business Economics, Aarhus University.
  122. Fushing Hsieh & Emilio Ferrer & Shu-Chun Chen & Sy-Miin Chow, 2010. "Exploring the Dynamics of Dyadic Interactions via Hierarchical Segmentation," Psychometrika, Springer;The Psychometric Society, vol. 75(2), pages 351-372, June.
  123. John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996. "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics 320., Boston College Department of Economics.
  124. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2013. "Investor herds and regime-switching: Evidence from Gulf Arab stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 295-321.
  125. Jardet, C., 2006. "Term Structure Anomalies: Term Premium or Peso problem?," Working papers 143, Banque de France.
  126. Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal, 2014. "Credit spread changes within switching regimes," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 41-55.
  127. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
  128. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
  129. Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans.
  130. Joao Liborio, 2005. "Dynamic bond portfolio choice in a model with Gaussian diffusion regimes," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 259-270.
  131. Bohl, Martin T. & Brzeszczynski, Janusz & Wilfling, Bernd, 2009. "Institutional investors and stock returns volatility: Empirical evidence from a natural experiment," Journal of Financial Stability, Elsevier, vol. 5(2), pages 170-182, June.
  132. Sylvia Kaufmann & Peter Kugler, 2006. "Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area," Working Papers 131, Oesterreichische Nationalbank (Austrian Central Bank).
  133. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  134. repec:kap:iaecre:v:20:y:2014:i:2:p:151-166 is not listed on IDEAS
  135. Luca Agnello & Gilles Dufrénot & Ricardo M. Sousa, 2012. "Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework," NIPE Working Papers 20/2012, NIPE - Universidade do Minho.
  136. Robert R. Bliss & David C. Smith, 1997. "The stability of interest rate processes," FRB Atlanta Working Paper 97-13, Federal Reserve Bank of Atlanta.
  137. René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
  138. Catão, Luis A. V. & Timmermann, Allan G, 2004. "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers 4368, C.E.P.R. Discussion Papers.
  139. Alain Monfort & Jean-Paul Renne, 2011. "Credit and Liquidity Risks in Euro-area Sovereign Yield Curves," Working Papers 2011-26, Centre de Recherche en Economie et Statistique.
  140. Funda Telatar & Erdinc Telatar, 2003. "The relationship between inflation and different sources of inflation uncertainty in Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 431-435.
  141. Allan Timmermann, 1999. "Moments of Markov Switching Models," FMG Discussion Papers dp323, Financial Markets Group.
  142. Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016. "Reducible diffusions with time-varying transformations with application to short-term interest rates," Economic Modelling, Elsevier, vol. 52(PA), pages 266-277.
  143. Asea, Patrick K. & Blomberg, Brock, 1998. "Lending cycles," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 89-128.
  144. Date, P. & Mamon, R. & Jalen, L. & Wang, I.C., 2010. "A linear algebraic method for pricing temporary life annuities and insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 98-104, August.
  145. Victor Pontines & Reza Siregar, 2006. "Fundamental Pitfalls of Exchange Market Pressure-Based Approaches to Identification of Currency Crises," Centre for International Economic Studies Working Papers 2006-02, University of Adelaide, Centre for International Economic Studies.
  146. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
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