Modeling the conditional distribution of interest rates as a regime-switching process-Reference-Cited by-同舟云学术

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Modeling the conditional distribution of interest rates as a regime-switching process

Published:1996-09 Issue:1 Volume:42 Page:27-62
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Gray Stephen F.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference34 articles.

1. A stochastic volatility model for short term interest rates and the detection of structural shifts;Ball,1994

2. Target zones and exchange rates: An empirical investigation;Bekaert,1995

3. Estimation and inference in non-linear structural models;Berndt;Annals of Economic and Social Measurement,1974

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

5. ARCH modeling in finance;Bollerslev;Journal of Econometrics,1992

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