A Markov switching unobserved component analysis of the CDX index term premium
Year of publication: |
March 2016
|
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Authors: | Calice, Giovanni ; Ioannidis, Christos ; Miao, Rong Hui |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 44.2016, p. 189-204
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Subject: | CDX index | Markov switching | State space | Variance decomposition | Term premium | Markov-Kette | Markov chain | Schätzung | Estimation | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Dekompositionsverfahren | Decomposition method | Zustandsraummodell | State space model |
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