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Bayesian versus maximum likelihood estimation of term structure models driven by latent diffusions
Frühwirth, Manfred; Schneider, Paul; Sögner, Leopold - In: Operations research proceedings 2005 : selected papers …, (pp. 507-512). 2006
Persistent link: https://www.econbiz.de/10003347723
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Multi-curve low dimensional Markovian models in an HJM framework
Torrealba Palacios, Manuel - In: Interest rate modelling after the financial crisis, (pp. 417-454). 2013
Persistent link: https://www.econbiz.de/10011457035
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Anticipated macroeconomic fundamentals, sovereign spreads and regime-switching : the case of the euro area
Dufrénot, Gilles; Damette, Olivier; Frouté, Philippe - In: Market microstructure and nonlinear dynamics : keeping …, (pp. 205-234). 2014
Persistent link: https://www.econbiz.de/10010480449
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Exploring a two-factor, Markovian, longnormal model of the term structure of interest rates
Richard, Scott F. - In: The legacy of Fischer Black, (pp. 197-211). 2005
Persistent link: https://www.econbiz.de/10003404091
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Markov chains and the potential approach to modelling interest rates and exchange rates
Rogers, Leonard C. G.; Yousaf, F. A. - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 375-406). 2002
Persistent link: https://www.econbiz.de/10001679461
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The validity of the real interest differential model for Turkey with Markov regime switching
Akdeniz, Coskun; İlhan, Ali - In: Dynamic optics in economics : quantitative, …, (pp. 99-115). 2020
Persistent link: https://www.econbiz.de/10012888489
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Regime switches in the yield curve-credit spread relationship and the prediction of recessions
Georgoutsos, Demetris A.; Kounitis, Thomas I. - In: Money, trade and finance : recent trends and …, (pp. 169-191). 2021
This chapter deals with the dynamic relationship between term and credit spreads within a framework that incorporates regime shifts. Through the estimation of an asymmetric Markov-Switching Vector Equilibrium Correction Model (MS-VECM), comprising the short- and the long-term risk-free rate and...
Persistent link: https://www.econbiz.de/10012696793
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Housing and monetary policy
Taylor, John B. - In: Housing, housing finance, and monetary policy : a …, (pp. 463-476). 2008
Persistent link: https://www.econbiz.de/10003719391
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Valuing swaptions
Fabozzi, Frank J.; Buetow, Gerald W. - 2008
Persistent link: https://www.econbiz.de/10003765712
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Term and volatility structures
Wets, Roger J.-B.; Bianchi, Stephen W. - 2006
Persistent link: https://www.econbiz.de/10003356682