Regime changes and interest rate risk

DOI10.1016/J.ECONLET.2015.08.015zbMATH Open1395.91473OpenAlexW1441309006MaRDI QIDQ1667908FDOQ1667908

Authors: Tony Caporale 

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.08.015

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zbMATH Keywords

structural breaksinterest rate riskregime changes

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Estimating and Testing Linear Models with Multiple Structural Changes
• Further evidence on breaking trend functions in macroeconomic variables
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited In (1)

• A mean shift break in the US interest rate.

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