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Regime-switching univariate diffusion models of the short-term interest rate

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Persistent link: https://www.econbiz.de/10009949941

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Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate

Choi, Seungmoon - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 1, pp. 1614-1614

This article proposes a general regime-switching univariate diffusion model to describe the dynamics of the short-term interest rate. The maximum likelihood estimates are obtained using the weekly series of U.S. three-month treasury bill rates. The estimation results reveal that there are strong...

Persistent link: https://www.econbiz.de/10005584864