Flexible Threshold Models for Modelling Interest Rate Volatility

DOI10.1080/07474930701220600zbMath1112.62117OpenAlexW2080429345MaRDI QIDQ5292356

Petros Dellaportas, D. G. T. Denison, Christopher C. Holmes

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701220600

zbMATH Keywords

Markov chain Monte Carlointerest ratesthreshold modelreversible jumpSETAR model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (4)

Contagion determination via copula and volatility threshold models ⋮ Forecasting with non-homogeneous hidden Markov models ⋮ Forecasting with non-homogeneous hidden Markov models ⋮ Volatility prediction based on scheduled macroeconomic announcements

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Threshold models in non-linear time series analysis
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Nonlinear interest rate dynamics and implications for the terms structure
• Bayes factors and nonlinearity: Evidence from economic time series
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• An equilibrium characterization of the term structure
• Monte Carlo sampling methods using Markov chains and their applications

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