Regime shifts in interest rate volatility
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Cited by:
- Mandler, Martin, 2007.
"Decomposing Federal Funds Rate forecast uncertainty using real-time data,"
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13498, University Library of Munich, Germany, revised Jan 2009.
- Martin Mandler, 2009. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MAGKS Papers on Economics 200947, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Marco Realdon, 2006. "The Target Rate and Term Structure of Interest Rates," Discussion Papers 06/15, Department of Economics, University of York.
- Mandler, Martin, 2007. "The Taylor rule and interest rate uncertainty in the U.S. 1955-2006," MPRA Paper 2340, University Library of Munich, Germany.
- Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
- Christiansen, Charlotte, 2008.
"Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates,"
International Review of Financial Analysis, Elsevier, vol. 17(5), pages 925-948, December.
- Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen, 2007. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers 2007-05, Department of Economics and Business Economics, Aarhus University.
- Ramaprasad Bhar & Damien Lee, 2018. "Alternative characterization of volatility of short-term interest rate," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-15, June.
- Miao, Daniel Wei-Chung & Wu, Chun-Chou & Su, Yi-Kai, 2013. "Regime-switching in volatility and correlation structure using range-based models with Markov-switching," Economic Modelling, Elsevier, vol. 31(C), pages 87-93.
- Realdon, Marco, 2006.
"Quadratic term structure models in discrete time,"
Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
- Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York.
- Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, September.
- Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2013. "The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?," Working papers 462, Banque de France.
- Smith Daniel R, 2009. "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-36, May.
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