Modeling the conditional distribution of interest rates as a regime-switching processStephen Gray1996-09-01articleJournal of Financial Economics1,492 citationsgreenNo readable copy stored yet — this record is metadata only.Stochastic processes and financial applicationsMonetary Policy and Economic ImpactFinancial Risk and Volatility ModelingAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 1,492 citations exist upstream.References1986Generalized autoregressive conditional heteroskedasticity1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1991Conditional Heteroskedasticity in Asset Returns: A New Approach1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle1985A Theory of the Term Structure of Interest Rates1992ARCH modeling in finance1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model1994Autoregressive conditional heteroskedasticity and changes in regimeCited by2002International Asset Allocation With Regime Shifts2002Asymmetric correlations of equity portfolios2003Forecasting Volatility in Financial Markets: A Review2000Option Prices, Implied Price Processes, and Stochastic Volatility1999Autoregressive Conditional Skewness2002Expectation puzzles, time-varying risk premia, and affine models of the term structure1999Volatility in Emerging Stock Markets2000Asset Pricing at the Millennium