Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes

DOI10.1016/J.MATCOM.2008.07.011MaRDI QIDQ834291zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 19 August 2009

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.07.011

zbMATH Keywords

outliersEM algorithmregime switchesconditional volatilityMARCH model

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
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• scientific article; zbMATH DE number 194758 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimating the dimension of a model
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• On a mixture vector autoregressive model

Cited in

(4)

• Pricing and risk management of interest rate swaps
• Pricing model of interest rate swap with a bilateral default risk
• Interest rate swap pricing with default risk under variance gamma process
• On mixture autoregressive conditional heteroskedasticity

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