Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied Financial Economics 24 (2014) 21, pp. 1361-1366
In this article, we consider a discrete-time economy in which we assume that the short-term interest rate follows a quadratic term structure in a regime-switching asset process. The possible nonlinear structure and the fact that the interest rate can have different economic or financial trends...