A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium
Year of publication: |
2011
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Authors: | Calice, Giovanni |
Other Persons: | Ioannides, Christos (contributor) ; Miao, Rong Hui (contributor) |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Markov-Kette | Markov chain | Schätzung | Estimation | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (53 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1776403 [DOI] |
Classification: | G01 - Financial Crises ; G12 - Asset Pricing ; G15 - International Financial Markets ; C22 - Time-Series Models ; C24 - Truncated and Censored Models ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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