An Empirical Examination of Term Structure Models with Regime Shifts
| Year of publication: |
2003-08-01
|
|---|---|
| Authors: | Sola, Martin ; Driffil, John ; Kenc, Turalay |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Term structure of interest rates | bond yields | stochastic discount factor/pricing kernel | and regime switching |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 65 |
| Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10005537794