Pages that link to "Item:Q3574739"
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The following pages link to Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate (Q3574739):
Displaying 15 items.
- Explicit form of approximate transition probability density functions of diffusion processes (Q494367) (← links)
- Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes (Q834291) (← links)
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices (Q1621243) (← links)
- Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619) (← links)
- Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients (Q2162257) (← links)
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions (Q2439860) (← links)
- Diffusion copulas: identification and estimation (Q2658762) (← links)
- Specification analysis in regime-switching continuous-time diffusion models for market volatility (Q2691691) (← links)
- Semi-Markov regime switching interest rate models under minimal entropy martingale measure (Q2824326) (← links)
- A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT (Q3606397) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- On pricing barrier control in a regime-switching regulated market (Q5234307) (← links)
- A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK (Q5714645) (← links)
- A multifactor transformed diffusion model with applications to VIX and VIX futures (Q5860975) (← links)
- Testing the term structure of interest rates using a stationary vector autoregression with regime switching (Q5894587) (← links)
