A time-varying Markov chain model of term structure.

DOI10.1016/S0167-7152(02)00313-9zbMath1037.60070MaRDI QIDQ1871340

Rogemar S. Mamon

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Markov chainterm structure

Mathematics Subject Classification ID

Related Items (4)

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Cites Work

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• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Mortgages and Markov Chains: A Simplified Evaluation Model
• Markov-functional interest rate models

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