Pages that link to "Item:Q1113255"

The following pages link to Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates (Q1113255):

Displaying 50 items.

• A lattice method for option evaluation with regime-switching asset correlation structure (Q1983725) (← links)
• Estimation of weak ARMA models with regime changes (Q1984643) (← links)
• Origins of monetary policy shifts: a new approach to regime switching in DSGE models (Q2054823) (← links)
• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level (Q2244233) (← links)
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)
• A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes (Q2315924) (← links)
• Learning about monetary regime shifts in an overlapping wage contract model (Q2366871) (← links)
• Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market (Q2398579) (← links)
• Pricing currency derivatives with Markov-modulated Lévy dynamics (Q2513442) (← links)
• Portfolio selection in a two-regime world (Q2630104) (← links)
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects (Q2687856) (← links)
• The effects of monetary policy regime shifts on the term structure of interest rates (Q2687866) (← links)
• The place of gold in the cross-market dependencies (Q2691683) (← links)
• On the estimation of regime-switching Lévy models (Q2691688) (← links)
• Specification analysis in regime-switching continuous-time diffusion models for market volatility (Q2691691) (← links)
• A model of the euro-area yield curve with discrete policy rates (Q2691694) (← links)
• Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence (Q2697063) (← links)
• Unconventional monetary policy reaction functions: evidence from the US (Q2697097) (← links)
• The term structure of eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach (Q2697098) (← links)
• Differential quadrature parallel algorithms for solving systems of convection-diffusion and reaction models (Q2700022) (← links)
• Sequential detection of switches in models with changing structures (Q2804556) (← links)
• A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood (Q2851573) (← links)
• Filtering of a Multi-Dimension Stochastic Volatility Model (Q3005154) (← links)
• REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION (Q3005960) (← links)
• OUTPUT FLUCTUATIONS PERSISTENCE: DO CYCLICAL SHOCKS MATTER? (Q3072428) (← links)
• Cointegration rank switching model: an application to forecasting interest rates (Q3088167) (← links)
• Unstable volatility: the break-preserving local linear estimator (Q3145404) (← links)
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS (Q3440787) (← links)
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL (Q3523588) (← links)
• Bond pricing when the short-term interest rate follows a threshold process (Q3605240) (← links)
• Bootstrap-based evaluation of markov-switching time series models (Q4211360) (← links)
• Empirical Performance and Asset Pricing in Hidden Markov Models (Q4434427) (← links)
• A radial basis function artificial neural network test for neglected nonlinearity (Q4458361) (← links)
• An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk (Q4562475) (← links)
• Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model (Q4609030) (← links)
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy (Q5001195) (← links)
• Markov switching model of nonlinear autoregressive with skew-symmetric innovations (Q5107340) (← links)
• Parameter changes in GARCH model (Q5123601) (← links)
• Interest rate prediction: a neuro-hybrid approach with data preprocessing (Q5166466) (← links)
• Flexible Threshold Models for Modelling Interest Rate Volatility (Q5292356) (← links)
• A Family of Markov‐Switching Garch Processes (Q5397964) (← links)
• How can we Define the Concept of Long Memory? An Econometric Survey (Q5466754) (← links)
• Stochastic Volatility Model with Filtering (Q5478920) (← links)
• A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK (Q5714645) (← links)
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching (Q5894587) (← links)
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching (Q5906546) (← links)
• Stationarity of multivariate Markov-switching ARMA models (Q5942686) (← links)
• Estimating and testing rational expectations models when the trend specification is uncertain. (Q5958097) (← links)
• The role of macroeconomic uncertainty in the determination of the natural rate of interest (Q6093728) (← links)
• A simulation study on the Markov regime-switching zero-drift GARCH model (Q6148769) (← links)