Modeling the conditional distribution of interest rates as a regime-switching process

Journal of Financial Economics

Volumn 42, Issue 1, 1996, Pages 27-62

  Gray, Stephen F ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

Conditional volatility; Maximum likelihood estimation; Regime switching; Short term interest rates

Indexed keywords

EID: 0030242133     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(96)00875-6     Document Type: Article

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