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Semi Markov regime switching interest rate models and minimal entropy measure

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  • Hunt, Julien
  • Devolder, Pierre

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  • Hunt, Julien & Devolder, Pierre, 2011. "Semi Markov regime switching interest rate models and minimal entropy measure," LIDAM Discussion Papers ISBA 2011010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2011010
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Robert J. Elliott & John van der Hoek, 1997. "An application of hidden Markov models to asset allocation problems (*)," Finance and Stochastics, Springer, vol. 1(3), pages 229-238.
    3. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
    4. Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2192-2209, December.
    5. Yongmiao Hong, 2005. "Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 37-84.
    6. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    7. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2010. "Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models," Methodology and Computing in Applied Probability, Springer, vol. 12(2), pages 215-225, June.
    8. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
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    Cited by:

    1. Patrick Assonken & G. S. Ladde, 2015. "Option Pricing With A Levy-Type Stochastic Dynamic Model For Stock Price Process Under Semi-Markovian Structural Perturbations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-72, December.
    2. Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
    3. Tanmay S. Patankar, 2016. "Asset Pricing in a Semi-Markov Modulated Market with Time-dependent Volatility," Papers 1609.04907, arXiv.org.
    4. Milan Kumar Das & Anindya Goswami & Nimit Rana, 2016. "Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes," Papers 1603.09149, arXiv.org, revised Jan 2018.
    5. D’Amico, Guglielmo & Manca, Raimondo & Salvi, Giovanni, 2013. "A semi-Markov modulated interest rate model," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2094-2102.
    6. Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2012. "A Semi-Markov Modulated Interest Rate Model," Papers 1210.3164, arXiv.org.
    7. Anindya Goswami & Omkar Manjarekar & Anjana R, 2018. "Option Pricing in a Regime Switching Jump Diffusion Model," Papers 1811.11379, arXiv.org, revised Oct 2019.
    8. Preda, Vasile & Dedu, Silvia & Sheraz, Muhammad, 2014. "New measure selection for Hunt–Devolder semi-Markov regime switching interest rate models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 350-359.

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