Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes

DOI10.1016/j.matcom.2008.07.011zbMath1168.91468OpenAlexW1974486531MaRDI QIDQ834291

N. E. Zubov

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.07.011

zbMATH Keywords

outliersEM algorithmregime switchesconditional volatilityMARCH model

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (4)

On mixture autoregressive conditional heteroskedasticity ⋮ Interest rate swap pricing with default risk under variance gamma process ⋮ Pricing model of interest rate swap with a bilateral default risk ⋮ Pricing and risk management of interest rate swaps

Cites Work

• Estimating the dimension of a model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• On a Mixture Autoregressive Model
• On a mixture vector autoregressive model
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