Search Results - subject:"Regime Switching ARCH Model"

Interest Rate Smoothing and Time-Varying Premium: Another Look at Debt Management in Japan

Takeda, Yosuke - 1999

switching ARCH model where an interest rate smoothing regime can be identified. Based on a model of time-inconsistency by … smoothing that causes empirical failures of expectation theory of term structure of interest rates. We estimate a regime …

Persistent link: https://www.econbiz.de/10010369168

Interest rate smoothing and time-varying premium : another look at debt management in Japan

Takeda, Yosuke - 1999

Persistent link: https://www.econbiz.de/10011609243

A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America

Canarella, Giorgio; Pollard, Stephen - In: International Review of Economics 54 (2007) 4, pp. 445-462

Persistent link: https://www.econbiz.de/10004965787

Interest Rate Smoothing and Time-Varying Premium: Another Look at Debt Management in Japan

Takeda, Yosuke - Economic Growth Center, Economics Department - 1999

Persistent link: https://www.econbiz.de/10005738384