A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK

DOI10.1142/S0219024905003323zbMath1117.91366MaRDI QIDQ5714645

Yong Zeng, Shu Wu

Publication date: 15 December 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Markov regime shifts

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Related Items

Multivariate Jacobi process with application to smooth transitions, An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk, The term structure of interest rates under regime shifts and jumps, Reduced-form models with regime switching: An empirical analysis for corporate bonds, Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching, Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate, Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals, REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK

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