Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate

DOI10.2202/1558-3708.1614zbMath1193.91171OpenAlexW2077373339MaRDI QIDQ3574739

Seungmoon Choi

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1614

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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