Publication:

The effects of different parameterizations of Markov-switching in a CIR model of bond pricing

Show simple item record
DC FieldValue
dc.contributor.authorJohn Driffill
dc.contributor.authorTuralay Kenc
dc.contributor.authorMartin Sola
dc.contributor.authorFabio Spagnolo
dc.contributor.authorKenc, Turalay
dc.date.accessioned2022-05-29T06:28:06Z
dc.date.available2022-05-29T06:28:06Z
dc.date.issued2009
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.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.doihttps://doi.org/10.2202/1558-3708.1490
dc.identifier.issn1558-3708
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3565
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
dlc.maintopicConventional financeen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
relation.isAuthorOfPublication7bdf745e-8829-456f-9e4f-fcc43b78d818
Appears in Collections
Journal Article
Files

Abstract View

2663230

View & Download

178864