Chib, Siddhartha; Kang, Kyu Ho - In: Journal of Financial Econometrics 11 (2013) 2, pp. 302-334
In this paper, we investigate the timing of structural changes in yield curve dynamics in the context of an arbitrage-free, one latent and two macroeconomic factors, affine term structure model. We suppose that all parameters in the model are subject to changes at unknown time points. We fit a...