Regime switching in the yield curve
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Reference34 articles.
1. Estimating continuous-time stochastic volatility models of the short-term interest rate
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1. Predicting Interest Rate Volatility Using Information on the Yield Curve;International Review of Finance;2015-07-02
2. Asymmetric Volatility Models with Structural Breaks;Communications in Statistics - Simulation and Computation;2012-10
3. Sources of regime switching in short-term interest rates for Canada;Applied Economics;2010-02
4. Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates;International Review of Financial Analysis;2008-12
5. Analysing Yield Spread and Output Dynamics in an Endogenous Markov Switching Regression Framework;Asia-Pacific Financial Markets;2007-10-26
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