Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
Year of publication: |
2009
|
---|---|
Authors: | Choi, Seungmoon |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 13.2009, 1, p. 1614-1614
|
Publisher: |
Berkeley Electronic Press |
Subject: | maximum likelihood estimation | Markov chain | short rate | term structure | volatility clustering |
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