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

DOI10.1016/j.matcom.2008.07.011zbMath1168.91468MaRDI QIDQ834291

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

outliers; EM algorithm; regime switches; conditional volatility; MARCH model

Mathematics Subject Classification ID

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

Related Items

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

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