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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. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
  2. 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.
  3. 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.
  4. Ruge-Murcia, F.J., 1995. "Government Expenditure and the Dynamics of High Inflation," Cahiers de recherche 9529, Universite de Montreal, Departement de sciences economiques.
  5. Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016. "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Open Access publications 10197/7323, School of Economics, University College Dublin.
  6. 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.
  7. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  8. Torben B. Rasmussen, . "Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series DynamicsCreation-Date: 20100225," CREATES Research Papers 2010-11, Department of Economics and Business Economics, Aarhus University.
  9. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics.
  10. 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.
  11. Jesús Vázquez, 2004. "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," Economic Working Papers at Centro de Estudios Andaluces E2004/11, Centro de Estudios Andaluces.
  12. 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).
  13. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
  14. 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.
  15. Michael Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Department of Economics Working Papers 2006-04, Universidad Torcuato Di Tella.
  16. Michael Funke & Yu-Fu Chen, 2009. "Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty," Quantitative Macroeconomics Working Papers 20908, Hamburg University, Department of Economics.
  17. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
  18. Ravn, Morten O. & Sola, Martin, 1995. "Stylized facts and regime changes: Are prices procyclical?," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 497-526, December.
  19. Hepburn, Cameron & Koundouri, Phoebe & Panopoulou, Ekaterini & Pantelidis, Theologos, 2009. "Social discounting under uncertainty: A cross-country comparison," Journal of Environmental Economics and Management, Elsevier, vol. 57(2), pages 140-150, March.
  20. 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.
  21. 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.
  22. 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.
  23. Kaminsky, G.L. & Leiderman, L., 1996. "High Real Interest Rates in the Aftermath of Disinflation: Is It a Lack of Credibility," Papers 8-96, Tel Aviv.
  24. Baele, L., 2003. "Volatility Spillover Effects in European Equity Markets," Discussion Paper 2003-114, Tilburg University, Center for Economic Research.
  25. Ruge-Murcia, F.J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  26. Philip Arestis & Kostas Mouratidis, 2004. "Is There a Trade-Off Between Inflation Variability and Output-Gap Variability in the EMU Countries?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(5), pages 691-706, November.
  27. 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.
  28. repec:onb:oenbwp:y::i:131:b:1 is not listed on IDEAS
  29. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
  30. Geert Bekaert & Robert J. Hodrick & David Marshall, 1996. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Working Paper Series, Issues in Financial Regulation WP-96-3, Federal Reserve Bank of Chicago.
  31. Graciela Kaminsky & Karen K. Lewis, 1993. "Does Foreign Exchange Intervention Signal Future Monetary Policy?," NBER Working Papers 4298, National Bureau of Economic Research, Inc.
  32. Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005. "On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models," Discussion Paper Series 2005_9, Department of Economics, Loughborough University, revised Sep 2005.
  33. 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.
  34. Todd Walker & Eric Leeper & Troy Davig, 2010. "Inflation and the Fiscal Limit," 2010 Meeting Papers 837, Society for Economic Dynamics.
  35. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
  36. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, 04.
  37. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Centre de Recherche en Economie et Statistique.
  38. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers.
  39. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
  40. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
  41. Markku Lanne, 2003. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift," Manchester School, University of Manchester, vol. 71(Supplemen), pages 54-67, 09.
  42. Giorgio Valente & Daniel Thornton & Lucio Sarno, 2004. "Federal Funds Rate Prediction," Working Papers wp04-12, Warwick Business School, Finance Group.
  43. repec:hal:journl:halshs-00185373 is not listed on IDEAS
  44. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 347-66, July.
  45. 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.
  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. Clements, Michael P. & Galv O, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 567-585, September.
  48. T.P. Koirala Ph.D., 2013. "Time-varying Parameters of Inflation Model in Nepal: State Space Modeling," NRB Working Paper 16/2013, Nepal Rastra Bank, Research Department.
  49. Chang-Jin Kim & Jaeho Kim, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," Discussion Paper Series 1306, Institute of Economic Research, Korea University.
  50. 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.
  51. Guidolin, Massimo & Timmermann, Allan G, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers.
  52. Jean-Michel Sahut, 2014. "A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates," Working Papers 2014-352, Department of Research, Ipag Business School.
  53. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2011. "How Does Fiscal Policy React to Wealth Composition and Asset Prices?," NIPE Working Papers 24/2011, NIPE - Universidade do Minho.
  54. 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.
  55. Vázquez Pérez, Jesús & Gutiérrez Huerta, María José, 2002. "Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates," DFAEII Working Papers 2002-24, University of the Basque Country - Department of Foundations of Economic Analysis II.
  56. Engel, Charles, 1994. "Can the Markov switching model forecast exchange rates?," Journal of International Economics, Elsevier, vol. 36(1-2), pages 151-165, February.
  57. 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.
  58. 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.
  59. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
  60. repec:hal:journl:halshs-00187875 is not listed on IDEAS
  61. Bams, Dennis & Schotman, Peter C., 2003. "Direct estimation of the risk neutral factor dynamics of Gaussian term structure models," Journal of Econometrics, Elsevier, vol. 117(1), pages 179-206, November.
  62. 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.
  63. 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.
  64. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, vol. 4(4), pages 403-423, December.
  65. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.
  66. 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).
  67. Duan, Jin-Chuan & Jacobs, Kris, 2008. "Is long memory necessary? An empirical investigation of nonnegative interest rate processes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 567-581, June.
  68. James D. Hamilton & Tatsuyoshi Okimoto, 2010. "Sources of Variation in Holding Returns for Fed Funds Futures Contracts," NBER Working Papers 15736, National Bureau of Economic Research, Inc.
  69. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
  70. Henry, Olan T. & Shields, Kalvinder, 2004. "Is there a unit root in inflation?," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 481-500, September.
  71. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
  72. 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.
  73. repec:hal:journl:halshs-00187910 is not listed on IDEAS
  74. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  75. Victor Pontines & Reza Y. Siregar, 2010. "Fear of Appreciation in East and Southeast Asia: The Role of the Chinese Renminbi," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp78.
  76. 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.
  77. 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.
  78. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
  79. 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.
  80. Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics.
  81. Jardet, C., 2006. "Term Structure Anomalies: Term Premium or Peso problem?," Working papers 143, Banque de France.
  82. Schwert, G.W., 1989. "Stock Volatility And The Crash Of '87," Papers 89-01, Rochester, Business - General.
  83. repec:hal:journl:halshs-00368358 is not listed on IDEAS
  84. Shively, Philip A., 2005. "Threshold nonlinear interest rates," Economics Letters, Elsevier, vol. 88(3), pages 313-317, September.
  85. 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..
  86. Pesaran, M Hashem & Pettenuzzo, Davide & Timmermann, Allan G, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CEPR Discussion Papers 4636, C.E.P.R. Discussion Papers.
  87. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
  88. Billio, M. & Monfort, A. & Robert, C. P., 1999. "Bayesian estimation of switching ARMA models," Journal of Econometrics, Elsevier, vol. 93(2), pages 229-255, December.
  89. Moore, Tomoe & Wang, Ping, 2007. "Volatility in stock returns for new EU member states: Markov regime switching model," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 282-292.
  90. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter," CIRANO Working Papers 95s-44, CIRANO.
  91. Chao-Chun Chen & Wen-Jen Tsay, 2007. "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research 07-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  92. 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.
  93. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
  94. Mark Holmes & Jesus Otero & Theodore Panagiotidis, 2015. "The Expectations Hypothesis and Decoupling of Short- and Long-Term US Interest Rates: A Pairwise Approach," Working Paper Series 15-31, The Rimini Centre for Economic Analysis.
  95. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  96. 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.
  97. 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.
  98. 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.
  99. Prakash Kannan, 2008. "Perspectives on High Real Interest Rates in Turkey," IMF Working Papers 08/251, International Monetary Fund.
  100. 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.
  101. 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).
  102. Peter Tillmann, 2003. "The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials," German Economic Review, Verein für Socialpolitik, vol. 4, pages 409-431, November.
  103. Giorgio Valente & Lucio Sarno, 2004. "Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Working Papers wp04-11, Warwick Business School, Finance Group.
  104. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
  105. 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.
  106. 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.
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  108. Patrick K. Asea & S. Brock Blomberg, 1997. "Lending Cycles," NBER Working Papers 5951, National Bureau of Economic Research, Inc.
  109. 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.
  110. Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
  111. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  112. 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.
  113. Jeffrey C. Fuhrer, 1995. "Modeling long-term nominal interest rates," Working Papers 95-7, Federal Reserve Bank of Boston.
  114. 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.
  115. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
  116. Rico Ihle & Linde Götz & Ofir D. Rubin, 2011. "State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 100, Courant Research Centre PEG.
  117. 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.
  118. repec:cuf:journl:y:2014:v:15:i:2:abiad is not listed on IDEAS
  119. Barkoulas, John T. & Baum, Christopher F. & Onochie, Joseph, 1997. "A nonparametric investigation of the 90-day t-bill rate," Review of Financial Economics, Elsevier, vol. 6(2), pages 187-198.
  120. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
  121. 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.
  122. 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.
  123. Petros Dellaportas & David G. T. Denison & Chris Holmes, 2007. "Flexible Threshold Models for Modelling Interest Rate Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 419-437.
  124. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
  125. 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.
  126. 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.
  127. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
  128. Robert R. Bliss & David C. Smith, 1997. "The stability of interest rate processes," FRB Atlanta Working Paper 97-13, Federal Reserve Bank of Atlanta.
  129. 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.
  130. Bollen, Nicolas P. B & Rasiel, Emma, 2003. "The performance of alternative valuation models in the OTC currency options market," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 33-64, February.
  131. 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.
  132. Georges Dionne & Pascal François & Olfa Maalaoui Chun, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche 0929, CIRPEE.
  133. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.
  134. Jun Yu, 2014. "Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market," Asia-Pacific Financial Markets, Springer, vol. 21(4), pages 317-330, November.
  135. : Carlo A. Favero & : Arie E. Gozluklu & : Haoxi Yang, 2013. "Demographics and The Behavior of Interest Rates," Working Papers wpn13-10, Warwick Business School, Finance Group.
  136. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
  137. 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.
  138. Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(2), pages 193-224, November.
  139. 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.
  140. Telatar, Erdinc & Telatar, Funda & Ratti, Ronald A., 2003. "On the predictive power of the term structure of interest rates for future inflation changes in the presence of political instability: the Turkish economy," Journal of Policy Modeling, Elsevier, vol. 25(9), pages 931-946, December.
  141. 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.
  142. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S189-S204.
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