In this paper, we investigate the timing of structural changes in yield curve dynamics in the context of an arbitrage-free, one latent and two macroeconomic factors, affine term structure model. We suppose that all parameters in the model are subject to changes at unknown time points. We fit a...

This study proposes and estimates state‐space models with endogenous Markov regime‐switching parameters. It complements regime‐switching dynamic linear models by allowing the discrete regime to be jointly determined with observed or unobserved continuous state variables. The estimation...

This paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when only discrete observations are available. The estimation is carried out using a tuned MCMC method, in particular a blcked Metropolis-Hastings algorithm, by introducing auxiliary points and...

This paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when observations are discretely sampled. The estimation framework relies on the introduction of latent auxiliary data to complete the missing diffusion between each pair of measurements. Tuned...