Regime switching and bond pricing
Christian Gourieroux; Alain Monfort; Fulvio Pegoraro; Jean-Paul Renne
| Year of publication: |
2014
|
|---|---|
| Authors: | Gouriéroux, Christian ; Monfort, Alain ; Pegoraro, Fulvio ; Renne, Jean-Paul |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 2, p. 237-277
|
| Subject: | term structure | regime switching | affine models | car process | multi-horizon Laplace transform | contagion | default risk | monetary policy | Geldpolitik | Monetary policy | Zinsstruktur | Yield curve | Theorie | Theory | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Anleihe | Bond | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010351547