Similar Search Results

The predictive content of the term premium for GDP growth in Canada : evidence from linear, Markov-switching and probit estimations

Lange, Ronald Henry - In: The North American journal of economics and finance : a … 44 (2018), pp. 80-91

Persistent link: https://www.econbiz.de/10012036297

Nearly exact Bayesian estimation of non-linear no-arbitrage term-structure models

Pericoli, Marcello; Taboga, Marco - In: Journal of financial econometrics 20 (2022) 5, pp. 807-838

Persistent link: https://www.econbiz.de/10013460028

Pricing the Bund term structure with linear regressions : without an observable short rate

Speck, Christian - 2023

Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...

Persistent link: https://www.econbiz.de/10014320252

Correcting estimation bias in regime switching dynamic term structure models

Cho, Sungjun; Liu, Liu - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 1093-1127

Persistent link: https://www.econbiz.de/10014342159

Threshold estimation of Markov models with jumps and interest rate modeling

Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92

Persistent link: https://www.econbiz.de/10009242541

Identification and estimation of Gaussian affine term structure models with regime switching

Wang, Gang - In: Journal of mathematical finance 4 (2014) 3, pp. 148-159

Persistent link: https://www.econbiz.de/10010400123

Regime-switching univariate diffusion models of the short-term interest rate

Choi, Seungmoon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10009513595

Priors and Bayesian parameter estimation of affine term structure models

Sögner, Leopold - In: International journal of computational economics and … 4 (2014) 3/4, pp. 288-319

Persistent link: https://www.econbiz.de/10010496421

Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates

Psaradakis, Zacharias G. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10003558927

Testing for the diffusion matrix in a continuous-time Markov process model with applications to the term structure of interest rates

Li, Fuchun - 2015

The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...

Persistent link: https://www.econbiz.de/10010531070