Term Structure of Interest Rates with Regime Shifts

Author:

Bansal Ravi,Zhou Hao

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference54 articles.

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2. Efficient method of mo-ments estimation of a stochastic volatility model: A Monte Carlo study;Andersen;Journal of Econo-metrics,1999

3. Ang , Andrew Geert Bekaert 1998 Regime switches in interest rates

4. Backus , David Silverio Foresi Abon Mozumdar Liuren Wu 2000 Predictable changes inyields and forward rates

5. Backus , David Stanley Zin 1994 Reverse engineering the yield curve

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