Switching VARMA term structure models

Journal of Financial Econometrics

Volumn 5, Issue 1, 2007, Pages 105-153

  Monfort, Alain ^a   Pegoraro, Fulvio ^a  

^a CREST   (France)

Author keywords

Affine term structure models; Car(p) processes; Expectation hypothesis puzzle; Lags; Stochastic discount factor; Switching regimes; VARMA processes

Indexed keywords

EID: 33846688166     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbl009     Document Type: Article

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