Pages that link to "Item:Q1605421"
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The following pages link to Short rate nonlinearities and regime switches. (Q1605421):
Displaying 34 items.
- Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Forecasts of US short-term interest rates: a flexible forecast combination approach (Q302204) (← links)
- Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
- On pricing and hedging options in regime-switching models with feedback effect (Q633323) (← links)
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model (Q634110) (← links)
- Pricing exotic options under a high-order Markovian regime switching model (Q933877) (← links)
- Optimal mortgage refinancing with regime switches (Q945043) (← links)
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models (Q1410572) (← links)
- Dynamic risk exposures in hedge funds (Q1927132) (← links)
- A trend-switching financial time series model with level-duration dependence (Q1954678) (← links)
- The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching (Q2070639) (← links)
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching (Q2197841) (← links)
- Regime-switching shot-noise processes and longevity bond pricing (Q2257575) (← links)
- A contagion model with Markov regime-switching intensities (Q2258911) (← links)
- The effects of conventional and unconventional monetary policy on forecasting the yield curve (Q2291799) (← links)
- Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models (Q2432014) (← links)
- Analysing yield spread and output dynamics in an endogenous Markov switching regression framework (Q2471739) (← links)
- Portfolio selection in a two-regime world (Q2630104) (← links)
- Infinite Markov pooling of predictive distributions (Q2673184) (← links)
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model (Q2879033) (← links)
- Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model (Q2889601) (← links)
- On Markov‐modulated Exponential‐affine Bond Price Formulae (Q3395727) (← links)
- An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk (Q4562475) (← links)
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model (Q4687656) (← links)
- Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas (Q5001158) (← links)
- Asset Allocation with Hedge Funds on the Menu (Q5019763) (← links)
- The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model (Q5022522) (← links)
- A Markov Switching Model with Stochastic Regimes with Application to Business Cycle Analysis (Q5283091) (← links)
- Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching (Q5384788) (← links)
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703) (← links)
- Forecasting with non-homogeneous hidden Markov models (Q5917857) (← links)
- Forecasting with non-homogeneous hidden Markov models (Q5970616) (← links)
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations (Q6185131) (← links)
