Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Managerial Finance 37 (2011) October, pp. 1025-1047
Purpose – The purpose of this paper is to consider a discrete-time, Markov, regime-switching, affine term-structure model for valuing bonds and other interest rate securities. The proposed model incorporates the impact of structural changes in (macro)-economic conditions on interest-rate...