Capturing the Regime-Switching and Memory Properties of Interest Rates
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DOI: 10.1007/s10614-013-9396-5
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More about this item
Keywords
Weak hidden Markov model; Parameter estimation; Regime-switching; Memory property; C51; G12;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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