Long-term behavior of stochastic interest rate models with Markov switching-Reference-Cited by-同舟云学术

Long-term behavior of stochastic interest rate models with Markov switching

Published:2016-09 Issue: Volume:70 Page:320-326
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Zhang Zhenzhong,Tong Jinying,Hu Liangjian

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Natural Science Foundation of Shanghai

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference18 articles.

1. The stochastic volatility of short term interest rates: some international evidence;Ball;J. Finance,1999

2. Long-term behavior of stochastic interest rate models with jumps and memory;Bao;Insurance Math. Econom.,2013

3. Stochastic Processes with Applications;Bhattacharya,1990

4. Stochastic mean and stochastic volatility a three-factor model of the term structure of interest rates and its application to the pricing of interest rate derivatives;Chen;Financ. Mark., Inst. Instrum.,1996

5. A theory of the term structure of interest rate;Cox;Econometrica,1985

Cited by 13 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The tail behavior of jump-diffusion Cox–Ingersoll–Ross processes with regime-switching;Statistics & Probability Letters;2022-02

2. Population dynamics driven by truncated stable processes with Markovian switching;Journal of Applied Probability;2021-06

3. Exact long time behavior of some regime switching stochastic processes;Bernoulli;2020-11-01

4. Some characterizations for the CIR model with Markov switching;Stochastics and Dynamics;2020-09-09

5. On a multiple credit rating migration model with stochastic interest rate;Mathematical Methods in the Applied Sciences;2020-05-27