Short rate nonlinearities and regime switches

Journal of Economic Dynamics and Control

Volumn 26, Issue 7-8, 2002, Pages 1243-1274

  Ang, Andrew ^a   Bekaert, Geert ^a  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

Author keywords

Drift; Regime switching; Short rate; Term spread; Volatility

Indexed keywords

EID: 0036198446     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00042-2     Document Type: Article

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