Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate

JOURNAL ARTICLE published 6 January 2009 in Studies in Nonlinear Dynamics & Econometrics

Authors: Seungmoon Choi

Inflation, real short-term interest rates, and the term structure of interest rates: a regime-switching approach

JOURNAL ARTICLE published February 2001 in Applied Economics

Authors: Li-Hsueh Chen

Likelihood-based specification analysis of continuous-time models of the short-term interest rate

JOURNAL ARTICLE published December 2003 in Journal of Financial Economics

Authors: Garland B. Durham

Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Charlotte Christiansen

Sources of regime switching in short-term interest rates for Canada

JOURNAL ARTICLE published February 2010 in Applied Economics

Authors: Ronald H. Lange

Inflation, real short-term interest rates, and the term structure of interest rates: a regime-switching approach

JOURNAL ARTICLE published 1 February 2001 in Applied Economics

Authors: Li-Hsueh Chen

Affine regime-switching models for interest rate term structure

OTHER published 2004 in Contemporary Mathematics

Authors: Shu Wu | Yong Zeng

A comparison of short-term interest rate models: empirical tests of interest rate volatility

JOURNAL ARTICLE published October 1998 in Applied Financial Economics

Authors: Mikiyo Kii Niizeki

A Semiparametric Diffusion Model for the Short Term Interest Rate

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Dennis Kristensen

Fitting semiparametric Markov regime-switching models to electricity spot prices

JOURNAL ARTICLE published March 2013 in Energy Economics

Authors: M. Eichler | D. Türk

Non-Affine Term-Structure Models and Short-Rate Models with Stochastic Jump Intensity

BOOK CHAPTER published in Pricing Interest-Rate Derivatives

Nonparametric estimation and specification testing of a two-factor interest rate model

POSTED CONTENT published

Authors: Brennan Scott Thompson

Diffusion Estimation and Structural Stability Tests of Short Term Interest Rate Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Sumihiro Takeda

Nonparametric estimation and specification testing of a two-factor interest rate model

POSTED CONTENT published

Authors: Brennan Scott Thompson

Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm

BOOK CHAPTER published 2002 in Advances in Finance and Stochastics

Authors: Ramaprasad Bhar | Carl Chiarella | Wolfgang J. Runggaldier

The Risk-free Short-term Rate of Interest

BOOK CHAPTER published 10 March 2022 in The Economics of the Stock Market

Authors: Andrew Smithers

Short-term interest rate dynamics: a spatial approach

JOURNAL ARTICLE published July 2002 in Journal of Financial Economics

Authors: Federico M. Bandi

Continuous-time short term interest rate models

JOURNAL ARTICLE published August 1998 in Applied Financial Economics

Authors: K. Ben Nowman

Modelling and Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Ai Jun Hou | Sandy Suardi

Regime-Switching Stochastic Volatility and Short-term Interest Rates

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Madhu Kalimipalli | Raul Susmel