Full metadata record
DC FieldValueLanguage
dc.contributor.authorJohn Driffill-
dc.contributor.authorTuralay Kenc-
dc.contributor.authorMartin Sola-
dc.contributor.authorFabio Spagnolo-
dc.date.accessioned2022-05-29T06:28:06Z-
dc.date.available2022-05-29T06:28:06Z-
dc.date.issued2009-
dc.identifier.citationDriffill, J., Kenc, T., Sola, M., & Spagnolo, F. (2009). The effects of different parameterizations of Markov-switching in a CIR model of bond pricing. Studies in Nonlinear Dynamics & Econometrics, 13 (1), pp. 1-24.en_US
dc.identifier.issn1558-3708
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/3565-
dc.description.abstractWe examine several discrete-time versions of the Cox, Ingersoll and Ross (CIR) model for the term structure, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that careful consideration of which parameters of the short-term interest rate equation that are allowed to be switched is crucial. Ignoring this issue may result in a parameterization that produces no improvement (in terms of bond pricing) relative to the standard CIR model, even when there are clear breaks in the data.en_US
dc.languageEnglish-
dc.language.isoengen_US
dc.publisherDe Gruyteren_US
dc.rights2009. De Gruyter-
dc.sourceSEDONA-
dc.subjectCox, Ingersoll and Ross (CIR) modelen_US
dc.subjectParameterizationsen_US
dc.subjectMarkov-switchingen_US
dc.titleThe effects of different parameterizations of Markov-switching in a CIR model of bond pricingen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicConventional financeen_US
dc.identifier.doihttps://doi.org/10.2202/1558-3708.1490
ikr.doctypeScholarly Works-
Appears in Collections:Journal Article


There are no files associated with this item.
Full metadata record
DC FieldValueLanguage
dc.contributor.authorJohn Driffill-
dc.contributor.authorTuralay Kenc-
dc.contributor.authorMartin Sola-
dc.contributor.authorFabio Spagnolo-
dc.date.accessioned2022-05-29T06:28:06Z-
dc.date.available2022-05-29T06:28:06Z-
dc.date.issued2009-
dc.identifier.citationDriffill, J., Kenc, T., Sola, M., & Spagnolo, F. (2009). The effects of different parameterizations of Markov-switching in a CIR model of bond pricing. Studies in Nonlinear Dynamics & Econometrics, 13 (1), pp. 1-24.en_US
dc.identifier.issn1558-3708
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/3565-
dc.description.abstractWe examine several discrete-time versions of the Cox, Ingersoll and Ross (CIR) model for the term structure, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that careful consideration of which parameters of the short-term interest rate equation that are allowed to be switched is crucial. Ignoring this issue may result in a parameterization that produces no improvement (in terms of bond pricing) relative to the standard CIR model, even when there are clear breaks in the data.en_US
dc.languageEnglish-
dc.language.isoengen_US
dc.publisherDe Gruyteren_US
dc.rights2009. De Gruyter-
dc.sourceSEDONA-
dc.subjectCox, Ingersoll and Ross (CIR) modelen_US
dc.subjectParameterizationsen_US
dc.subjectMarkov-switchingen_US
dc.titleThe effects of different parameterizations of Markov-switching in a CIR model of bond pricingen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicConventional financeen_US
dc.identifier.doihttps://doi.org/10.2202/1558-3708.1490
ikr.doctypeScholarly Works-
Appears in Collections:Journal Article


There are no files associated with this item.