Capturing the regime-switching and memory properties of interest rates
Year of publication: |
2014
|
---|---|
Authors: | Xi, Xiaojing ; Mamon, Rogemar |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 44.2014, 3, p. 307-337
|
Subject: | Weak hidden Markov model | Parameter estimation | Regime-switching | Memory property | USA | United States | Eigentum | Property | Schätzung | Estimation | Markov-Kette | Markov chain |
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