Markov-switching models have become popular alternatives to linear autoregressive models. Many papers which estimate nonlinear models make little attempt to demonstrate whether the nonlinearities they capture are of interest or if the models differ substantially from the linear option. By...

A factor analysis of long-term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are assumed to have GARCH-type specifications as well as exhibiting serial dependence. An indirect estimator is used to...