The effects of different parameterizations of markov-switching in a cir model of bond pricing

Studies in Nonlinear Dynamics and Econometrics

Volumn 13, Issue 1, 2009, Pages

  Driffill, John ^a   Kenc, Turalay ^b   Sola, Martin ^c   Spagnolo, Fabio ^d  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b BRADFORD UNIVERSITY SCHOOL OF MANAGEMENT   (United Kingdom)

^c UNIVERSIDAD TORCUATO DI TELLA   (Argentina)

^d BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Bond yields; Interest rates; Regime switching; Stochastic discount factor

Indexed keywords

EID: 65249133993     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1490     Document Type: Article

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