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An Infinite Hidden Markov Model for Short-term Interest Rates · Study

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ArticleAn Infinite Hidden Markov Model for Short-term Interest Rates

John M. Maheu2016

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Articlegreen2016

An Infinite Hidden Markov Model for Short-term Interest Rates

John M. Maheu · Qiao Yang

24 citations·0/0 files stored·Journal of Empirical Finance

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Stochastic processes and financial applications Monetary Policy and Economic Impact Bayesian Methods and Mixture Models

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1996Modeling the conditional distribution of interest rates as a regime-switching process 1988Rational-expectations econometric analysis of changes in regime 1996An Analysis of the Real Interest Rate Under Regime Shifts 1994A Markov Model of Switching-Regime ARCH 2006Forecasting Time Series Subject to Multiple Structural Breaks

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Year2016

Typearticle

Published2016-01-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jempfin.2016.06.006

openalex_workW1774737591

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