An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk

DOI10.1007/978-1-4899-7442-6_3zbMath1418.91560OpenAlexW1488498738MaRDI QIDQ4562475

Yong Zeng, Shu Wu

Publication date: 21 December 2018

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_3

zbMATH Keywords

interest rateterm structureyield curverisk premiumregime shift

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Bond pricing formulas for Markov-modulated affine term structure models ⋮ Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

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