Evidence for state transition and altered serial codependence in US$ interest rates

DOI10.1080/14697680802454692zbMath1169.91376OpenAlexW2020605351MaRDI QIDQ3395733

Riccardo Rebonato, Jian Chen

Publication date: 13 September 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802454692

zbMATH Keywords

hidden Markov modelsdrawdowncodependencedrawupUS\$ interest rates

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• Analysis of drawdowns and drawups in the US$ interest-rate market
• LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION

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