A regime switching model to evaluate bonds in a quadratic term structure of interest rates
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Cited by:
- Bekiros, Stelios & Avdoulas, Christos & Hassapis, Christis, 2018. "Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 140-155.
- Abid, Ilyes & Dhaoui, Abderrazak & Goutte, Stéphane & Guesmi, Khaled, 2019.
"Contagion and bond pricing: The case of the ASEAN region,"
Research in International Business and Finance, Elsevier, vol. 47(C), pages 371-385.
- Ilyes Abid & Abderrazak Dhaoui & Stéphane Goutte & Khaled Guesmi, 2019. "Contagion and bond pricing: The case of the ASEAN region," Post-Print halshs-02148928, HAL.
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More about this item
Keywords
Regime switching; Quadratic term structure model; Zero coupon bond; Markov chain;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2015-08-25 (Operations Research)
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