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No-arbitrage taylor rules with switching regimes
Li, Haitao; Li, Tao; Yu, Cindy - In: Management science : journal of the Institute for … 59 (2013) 10, pp. 2278-2294
Persistent link: https://www.econbiz.de/10010202802
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Regime switching and bond pricing
Gouriéroux, Christian; Monfort, Alain; Pegoraro, Fulvio; … - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 237-277
Persistent link: https://www.econbiz.de/10010351547
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Pricing of discount bonds with a Markov switching regime
Elliott, Robert J.; Nishide, Katsumasa - In: Annals of finance 10 (2014) 3, pp. 509-522
Persistent link: https://www.econbiz.de/10010399761
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Moments of multivariate regime switching with application to risk-return trade-off
Taamouti, Abderrahim - In: Journal of empirical finance 19 (2012) 2, pp. 292-308
Persistent link: https://www.econbiz.de/10009615702
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Bayesian extensions to Diebold-Li term structure model
Laurini, Márcio Poletti; Hotta, Luiz K. - In: International review of financial analysis 19 (2010) 5, pp. 342-350
Persistent link: https://www.econbiz.de/10009272648
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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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The term structure of Eurozone peripheral bond yields : an asymmetric regime-switching equilibrium correction approach
Avdoulas, Christos; Bekiros, Stelios; Lucey, Brian M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10012299596
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Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model
Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56
Persistent link: https://www.econbiz.de/10011642177
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Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
Bekiros, Stelios; Avdoulas, Christos; Hassapis, Christis - In: International review of financial analysis 55 (2018), pp. 140-155
Persistent link: https://www.econbiz.de/10012006178
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Correcting estimation bias in regime switching dynamic term structure models
Cho, Sungjun; Liu, Liu - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 1093-1127
Persistent link: https://www.econbiz.de/10014342159