Correcting estimation bias in regime switching dynamic term structure models
Year of publication: |
2023
|
---|---|
Authors: | Cho, Sungjun ; Liu, Liu |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 61.2023, 3, p. 1093-1127
|
Subject: | Regime switching | Small sample bias correction | Term structure | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Systematischer Fehler | Bias | Schätzung | Estimation | Markov-Kette | Markov chain | Kointegration | Cointegration |
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