IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v57y2002i5p1997-2043.html
   My bibliography  Save this item

Term Structure of Interest Rates with Regime Shifts

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.
  2. Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
  3. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  4. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
  5. Hassan Shareef & Santhakumar Shijin, 2016. "Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 137-152, June.
  6. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
  7. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium‐based approach," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(2), pages 561-583, May.
  8. Wolfgang Lemke & Theofanis Archontakis, 2008. "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 811-822.
  9. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
  10. Battulga Gankhuu, 2021. "Options Pricing under Bayesian MS-VAR Process," Papers 2109.05998, arXiv.org, revised Sep 2024.
  11. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  12. Koeda, Junko, 2013. "Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields," Journal of the Japanese and International Economies, Elsevier, vol. 29(C), pages 170-188.
  13. Michael D. Bauer, 2015. "Nominal Interest Rates and the News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 295-332, March.
  14. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
  15. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2011. "How arbitrage-free is the Nelson-Siegel model?," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 393-407, June.
  16. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
  17. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  18. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  19. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
  20. Argyropoulos Efthymios & Tzavalis Elias, 2015. "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 49-70, February.
  21. Troy Davig & Eric Leeper, 2009. "Reply To “Generalizing The Taylor Principle: A Comment”," CAEPR Working Papers 2009-008, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  22. Ferland, René & Gauthier, Geneviève & Lalancette, Simon, 2010. "A regime-switching term structure model with observable state variables," Finance Research Letters, Elsevier, vol. 7(2), pages 103-109, June.
  23. Francesco Audrino, 2012. "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 315-335, March.
  24. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2010. "The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy," Other publications TiSEM b44feba5-acd3-43b8-969e-1, Tilburg University, School of Economics and Management.
  25. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1047-1061, May.
  26. Stéphane Goutte & Raphaël Homayoun & Thomas Porcher, 2014. "A regime switching model to evaluate bonds in a quadratic term structure of interest rates," Working Papers hal-01090846, HAL.
  27. repec:wyi:journl:002093 is not listed on IDEAS
  28. Casper De Vries & Xuedong Wang & Casper G, de Vries, 2015. "Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates," CESifo Working Paper Series 5421, CESifo.
  29. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
  30. Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
  31. Lakdawala, Aeimit & Wu, Shu, 2017. "Federal Reserve credibility and the term structure of interest rates," European Economic Review, Elsevier, vol. 100(C), pages 364-389.
  32. Zaremba Leszek, 2017. "Does Macaulay Duration Provide The Most Cost-Effective Immunization Method – A Theoretical Approach," Foundations of Management, Sciendo, vol. 9(1), pages 99-110, February.
  33. Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
  34. Almansour, Abdullah, 2016. "Convenience yield in commodity price modeling: A regime switching approach," Energy Economics, Elsevier, vol. 53(C), pages 238-247.
  35. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  36. Jón Daníelsson & Francisco Peñaranda, 2011. "On The Impact Of Fundamentals, Liquidity, And Coordination On Market Stability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(3), pages 621-638, August.
  37. Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
  38. Ravi Bansal & Ivan Shaliastovich, 2013. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 1-33.
  39. Stéphane Goutte, 2013. "Markov switching quadratic term structure models," Working Papers hal-00821745, HAL.
  40. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
  41. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  42. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
  43. Christian Gollier & Phoebe Koundouri & Theologos Pantelidis, 2008. "Declining discount rates: Economic justifications and implications for long-run policy [‘Regime switches in interest rates’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 23(56), pages 758-795.
  44. Badye Essid & Tolga Cenesizoglu, 2010. "The Effect of Monetary Policy on Credit Spreads," 2010 Meeting Papers 1139, Society for Economic Dynamics.
  45. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
  46. Mehmet Pasaogullari & Simeon Tsonevy, 2011. "The term structure of inflation compensation in the nominal yield curve," Working Papers (Old Series) 1133, Federal Reserve Bank of Cleveland.
  47. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics.
  48. K. Zhang & K. Teo & M. Swartz, 2014. "A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 463-483, April.
  49. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
  50. Constantino Hevia & Ivan Petrella & Martin Sola, 2022. "Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals," Working Papers 200, Red Nacional de Investigadores en Economía (RedNIE).
  51. Guidolin, Massimo & Thornton, Daniel L., 2018. "Predictions of short-term rates and the expectations hypothesis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
  52. Zhu, Xiaoneng, 2011. "Revisiting the expectations hypothesis: The Japanese term structure and regime shifts," Journal of Economics and Business, Elsevier, vol. 63(3), pages 237-249, May.
  53. Monica Gentile & Roberto Renò, 2005. "Specification Analysis of Diffusion Models for the Italian Short Rate," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 51-83, February.
  54. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
  55. Lu, Xiaoping & Putri, Endah R.M., 2020. "A semi-analytic valuation of American options under a two-state regime-switching economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
  56. Peter Feldhütter & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Risk Premia and Volatilities in a Nonlinear Term Structure Model [Quadratic term structure models: theory and evidence]," Review of Finance, European Finance Association, vol. 22(1), pages 337-380.
  57. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1984-2000, August.
  58. Ken Nyholm & Riccardo Rebonato, 2008. "Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1597-1611.
  59. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008. "The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value," Journal of Financial Economics, Elsevier, vol. 89(1), pages 158-174, July.
  60. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  61. Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
  62. Jumbe, George, 2023. "Credit Risk Assessment Using Default Models: A Review," OSF Preprints ksb8n, Center for Open Science.
  63. 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.
  64. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  65. Haitao Li & Tao Li & Cindy Yu, 2013. "No-Arbitrage Taylor Rules with Switching Regimes," Management Science, INFORMS, vol. 59(10), pages 2278-2294, October.
  66. Valderrama, Diego, 2007. "Statistical nonlinearities in the business cycle: A challenge for the canonical RBC model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 2957-2983, September.
  67. Ren, Yu & Shimotsu, Katsumi, 2009. "Improvement in finite sample properties of the Hansen-Jagannathan distance test," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 483-506, June.
  68. Palandri, Alessandro, 2024. "Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative," Journal of Banking & Finance, Elsevier, vol. 161(C).
  69. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 1-86, Emerald Group Publishing Limited.
  70. Albert, Stéphane, 2015. "US bank holding companies: Structure of activities and performance through the cycles," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 253-269.
  71. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, September.
  72. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
  73. Lange, Ronald H., 2010. "Regime-switching monetary policy in Canada," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 782-796, September.
  74. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
  75. Lange, Ronald H., 2017. "The expected real yield and inflation components of the nominal yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 1-18.
  76. Shaw, Charles, 2020. "Regimes, Non-Linearities, and Price Discontinuities in Indian Energy Stocks," MPRA Paper 104798, University Library of Munich, Germany.
  77. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2013. "Option-based risk management of a bond portfolio under regime switching interest rates," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 47-70, May.
  78. Siyu Bie & Francis X. Diebold & Jingyu He & Junye Li, 2024. "Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching," Papers 2408.12863, arXiv.org.
  79. Driessen, Joost & Perotti, Enrico, 2011. "Confidence building on Euro convergence: Evidence from currency options," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 474-491, April.
  80. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  81. Martin D. D. Evans, 2003. "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, vol. 113(487), pages 345-389, April.
  82. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
  83. Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
  84. Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-31, May.
  85. Yuri Kabanov & Masaaki Kijima & Sofiane Rinaz, 2007. "A positive interest rate model with sticky barrier," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 269-284.
  86. Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
  87. Ferman, Marcelo, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," Dynare Working Papers 5, CEPREMAP.
  88. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  89. Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, October.
  90. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
  91. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
  92. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011, January-A.
  93. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen.
  94. Junko Koeda, 2011. "Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective," CARF F-Series CARF-F-254, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2011.
  95. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
  96. Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 399-412.
  97. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, vol. 102(1), pages 222-232, October.
  98. Chen, Ying & Niu, Linlin, 2014. "Adaptive dynamic Nelson–Siegel term structure model with applications," Journal of Econometrics, Elsevier, vol. 180(1), pages 98-115.
  99. Guo, Xin & Miao, Jianjun & Morellec, Erwan, 2005. "Irreversible investment with regime shifts," Journal of Economic Theory, Elsevier, vol. 122(1), pages 37-59, May.
  100. Bjørn Eraker & Ivan Shaliastovich & Wenyu Wang, 2016. "Durable Goods, Inflation Risk, and Equilibrium Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 193-231.
  101. Diego Valderrama, 2002. "Nonlinearities in international business cycles," Working Paper Series 2002-23, Federal Reserve Bank of San Francisco.
  102. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Papers 2006.15312, arXiv.org, revised May 2022.
  103. Huang, Jia-Ping & Sumita, Ushio, 2015. "Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions," Applied Mathematics and Computation, Elsevier, vol. 251(C), pages 453-468.
  104. Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016. "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers 2016-26, Department of Economics and Business Economics, Aarhus University.
  105. Glenn D. Rudebusch & Tao Wu, 2007. "Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 395-422, March.
  106. Nawalkha, Sanjay K & Zhuo, Xiaoyang, 2020. "A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims," OSF Preprints hsxtu, Center for Open Science.
  107. Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
  108. Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005. "Federal Funds Rate Prediction," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 449-471, June.
  109. Philip Gray & Daniel R. Smith, 2008. "An Empirical Investigation of the Level Effect in Australian Interest Rates," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 31-45, June.
  110. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
  111. Zhu, Xiaoneng, 2011. "A note on the predictability of excess bond returns and regime shifts," Finance Research Letters, Elsevier, vol. 8(2), pages 101-109, June.
  112. Constantino Hevia & Martin Gonzalez‐Rozada & Martin Sola & Fabio Spagnolo, 2015. "Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 987-1009, September.
  113. Kaya, Huseyin, 2013. "The yield curve and the macroeconomy: Evidence from Turkey," Economic Modelling, Elsevier, vol. 32(C), pages 100-107.
  114. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alexandru, 2011. "On pricing and hedging options in regime-switching models with feedback effect," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 694-713, May.
  115. Ronald H. Lange, 2013. "Monetary policy reactions and the exchange rate: a regime-switching structural VAR for Canada," International Review of Applied Economics, Taylor & Francis Journals, vol. 27(5), pages 612-632, September.
  116. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
  117. Levant, Jared & Ma, Jun, 2017. "A dynamic Nelson-Siegel yield curve model with Markov switching," Economic Modelling, Elsevier, vol. 67(C), pages 73-87.
  118. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
  119. Frank Asche & Atle Oglend & Petter Osmundsen, 2017. "Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price," The Energy Journal, , vol. 38(2), pages 131-148, March.
  120. Ramos, Sofia B. & Veiga, Helena, 2011. "Risk factors in oil and gas industry returns: International evidence," Energy Economics, Elsevier, vol. 33(3), pages 525-542, May.
  121. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
  122. C. Ye & R. H. Liu & D. Ren, 2018. "Optimal Asset Allocation With Stochastic Interest Rates In Regime-Switching Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
  123. Hamilton, J.D., 2016. "Macroeconomic Regimes and Regime Shifts," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 163-201, Elsevier.
  124. Wu, Shu & Zeng, Yong, 2006. "The term structure of interest rates under regime shifts and jumps," Economics Letters, Elsevier, vol. 93(2), pages 215-221, November.
  125. Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen, 2016. "Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 459-482, April.
  126. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
  127. Stoyan Valchev, 2004. "Stochastic volatility Gaussian Heath-Jarrow-Morton models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(4), pages 347-368.
  128. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
  129. Jing Cynthia Wu & Fan Dora Xia, 2020. "Negative interest rate policy and the yield curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 653-672, September.
  130. Ryohei Kawata & Masaaki Kijima, 2007. "Value-at-risk in a market subject to regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 609-619.
  131. repec:wyi:journl:002109 is not listed on IDEAS
  132. Dong, Fangyuan & Wong, Hoi Ying, 2015. "Longevity bond pricing under the threshold CIR model," Finance Research Letters, Elsevier, vol. 15(C), pages 195-207.
  133. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
  134. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
  135. repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
  136. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
  137. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
  138. Haitao Li & Yuewu Xu, 2009. "Short Rate Dynamics and Regime Shifts," International Review of Finance, International Review of Finance Ltd., vol. 9(3), pages 211-241, September.
  139. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  140. Torben B. Rasmussen, "undated". "Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series DynamicsCreation-Date: 20100225," CREATES Research Papers 2010-11, Department of Economics and Business Economics, Aarhus University.
  141. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
  142. George Halkos & Stephanos Papadamou, 2007. "Significance of risk modelling in the term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 237-247.
  143. Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
  144. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
  145. Abdymomunov Azamat & Kang Kyu Ho, 2015. "The effects of monetary policy regime shifts on the term structure of interest rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 183-207, April.
  146. Sungjun Cho & Liu Liu, 2023. "Correcting estimation bias in regime switching dynamic term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1093-1127, October.
  147. Zhu, Xiaoneng & Rahman, Shahidur, 2015. "A regime-switching Nelson–Siegel term structure model of the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 1-17.
  148. Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi, 2014. "Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model," Finance Research Letters, Elsevier, vol. 11(2), pages 161-172.
  149. Cho, Sungjun & Hyde, Stuart & Liu, Liu, 2022. "The yen–dollar risk premium: A story of regime shifts in bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  150. Chen, Jiakai, 2021. "LIBOR's poker," Journal of Financial Markets, Elsevier, vol. 55(C).
  151. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
  152. Ferman, Marcelo, 2011. "Switching monetary policy regimes and the nominal term structure," LSE Research Online Documents on Economics 119070, London School of Economics and Political Science, LSE Library.
  153. Kaya, Huseyin, 2013. "Forecasting the yield curve and the role of macroeconomic information in Turkey," Economic Modelling, Elsevier, vol. 33(C), pages 1-7.
  154. Kalimipalli, Madhu & Susmel, Raul, 2004. "Regime-switching stochastic volatility and short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 309-329, June.
  155. Casalin, Fabrizio, 2016. "Size and power of tests based on Permanent-Transitory Component Models," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 142-153.
  156. Francesco Audrino & Marcelo C. Medeiros, 2011. "Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 999-1022, September.
  157. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
  158. Robert J. Elliott & Tak Kuen Siu, 2016. "Pricing regime-switching risk in an HJM interest rate environment," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1791-1800, December.
  159. Shen, Yang & Siu, Tak Kuen, 2013. "Pricing bond options under a Markovian regime-switching Hull–White model," Economic Modelling, Elsevier, vol. 30(C), pages 933-940.
  160. repec:spo:wpmain:info:hdl:2441/5221 is not listed on IDEAS
  161. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29.
  162. Issouf Soumaré & Ernest Tafolong, 2017. "Risk-based capital for credit insurers with business cycles and dynamic leverage," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 597-612, April.
  163. Chung, San-Lin & Hung, Mao-Wei & Wei, Tzu-Wen & Yeh, Chung-Ying, 2024. "Strategic asset allocation with distorted beliefs," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 804-831.
  164. Robert Faff & Sirimon Treepongkaruna, 2013. "A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 333-352, August.
  165. Driffill John & Kenc Turalay & Sola Martin & Spagnolo Fabio, 2009. "The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
  166. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  167. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, July-Dece.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.