The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing
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DOI: 10.2202/1558-3708.1490
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Cited by:
- Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2013. "State-Dependent Threshold Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 835-854, December.
- Pierre Guérin & Massimiliano Marcellino, 2013.
"Markov-Switching MIDAS Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 45-56, January.
- Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
- Constantino Hevia & Martin Gonzalez‐Rozada & Martin Sola & Fabio Spagnolo, 2015.
"Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 987-1009, September.
- Martin Gonzalez-Rozada & Martin sola & Constantino Hevia & Fabio Spagnolo, 2012. "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," Department of Economics Working Papers 2012-07, Universidad Torcuato Di Tella.
- Constantino Hevia & Martin Gonzalez-Rozada & Martin Sola & Fabio Spagnolo, 2014. "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," BCAM Working Papers 1403, Birkbeck Centre for Applied Macroeconomics.
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