Driffill, John; Kenc, Turalay; Sola, Martin; Spagnolo, Fabio - C.E.P.R. Discussion Papers - 2004
We examine several continuous-time term-structure models, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that inquiring which parameters of the short-term interest rate equation are allowed to switch is crucial, as failing to do so may result in switching...