A regime-switching term structure model with observable state variables
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Keywords
C02 E43 G10 G12 Regime-switch Target rate Risk-neutral valuation Markov chains;JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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