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...
