Pages that link to "Item:Q1113255"
From MaRDI portal
The following pages link to Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates (Q1113255):
Displayed 50 items.
- Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model (Q286453) (← links)
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting (Q289169) (← links)
- Methods for inference in large multiple-equation Markov-switching models (Q299218) (← links)
- Delay times of sequential procedures for multiple time series regression models (Q302113) (← links)
- Forecasts of US short-term interest rates: a flexible forecast combination approach (Q302204) (← links)
- Local-momentum autoregression and the modeling of interest rate term structure (Q308389) (← links)
- Structure of a double autoregressive process driven by a hidden Markov chain (Q449432) (← links)
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634) (← links)
- A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
- Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach (Q507996) (← links)
- Robust identification of highly persistent interest rate regimes (Q518607) (← links)
- A linear algebraic method for pricing temporary life annuities and insurance policies (Q661219) (← links)
- The term structure of interest rates and regime shifts (Q672787) (← links)
- Asian option as a fixed-point (Q721236) (← links)
- Testing for linearity in Markov switching models: a bootstrap approach (Q734468) (← links)
- Analysis of time series subject to changes in regime (Q756894) (← links)
- Autoregressive statistical modeling of a Peru margin multi-proxy holocene record shows correlation not causation, flickering regimes and persistence (Q781831) (← links)
- Explicit solutions to European options in a regime-switching economy (Q813961) (← links)
- Market risk and Bitcoin returns (Q827254) (← links)
- Reduced-form models with regime switching: An empirical analysis for corporate bonds (Q928173) (← links)
- Exploring the dynamics of dyadic interactions via hierarchical segmentation (Q985442) (← links)
- Valuation of cash flows under random rates of interest: a linear algebraic approach (Q997086) (← links)
- Distribution switching in financial time series (Q1005213) (← links)
- Nonlinear interest rate dynamics and implications for the terms structure (Q1126499) (← links)
- Changes in regime and the term structure. A note (Q1186076) (← links)
- Switching state-space models: likelihood function, filtering and smoothing (Q1299533) (← links)
- Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching (Q1305646) (← links)
- Cotrending and the stationarity of the real interest rate (Q1316984) (← links)
- Dynamic linear models with Markov-switching (Q1318985) (← links)
- Lending cycles (Q1377307) (← links)
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models (Q1410572) (← links)
- Inflation targeting with NAIRU uncertainty and endogenous policy credibility (Q1583313) (← links)
- Short rate nonlinearities and regime switches. (Q1605421) (← links)
- A dynamic Markov regime-switching GARCH model and its cumulative impulse response function (Q1642424) (← links)
- Scenario generation for long run interest rate risk assessment (Q1676381) (← links)
- Alternative approaches for econometric modeling of panel data using mixture distributions (Q1690070) (← links)
- Regime-switching temperature dynamics model for weather derivatives (Q1736306) (← links)
- Bayesian estimation of switching ARMA models (Q1808545) (← links)
- Structural changes in the cointegrated vector autoregressive model (Q1810669) (← links)
- Specification testing in Markov-switching time-series models (Q1906290) (← links)
- Threshold nonlinear interest rates (Q1927902) (← links)
- Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584) (← links)
- An asset return model capturing stylized facts (Q1935727) (← links)
- Regime switching in foreign exchange rates: Evidence from currency option prices (Q1969822) (← links)
- Moments of Markov switching models (Q1973430) (← links)
- A lattice method for option evaluation with regime-switching asset correlation structure (Q1983725) (← links)
- Estimation of weak ARMA models with regime changes (Q1984643) (← links)
- Origins of monetary policy shifts: a new approach to regime switching in DSGE models (Q2054823) (← links)
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level (Q2244233) (← links)
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)