Evidence for state transition and altered serial codependence in US$ interest rates

DOI10.1080/14697680802454692MaRDI QIDQ3395733zbMATH OpenOpenAlexFDO

Authors Riccardo Rebonato, Jian Chen

Publication date 13 September 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802454692

zbMATH Keywords

codependencedrawdowndrawuphidden Markov modelsUS\$ interest rates

Mathematics Subject Classification ID

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Cites work

• Analysis of drawdowns and drawups in the US$ interest-rate market
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION

Cited in

(2)

• Time-varying long-range dependence in US interest rates
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

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