Elliott, Robert J.; Kuen Siu, Tak; Badescu, Alex - In: Managerial Finance 37 (2011) 11, 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...