Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates

International Review of Financial Analysis

Volumn 17, Issue 5, 2008, Pages 925-948

  Christiansen, Charlotte ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

Bivariate short rate model; International short rates; Level ARCH model; Regime switching

Indexed keywords

EID: 54849417274     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2007.11.002     Document Type: Article

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