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ArticleRegime shifts in interest rate volatility

Licheng Sun2005

Article2005

Regime shifts in interest rate volatility

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

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1994Autoregressive conditional heteroskedasticity and changes in regime 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1996Modeling the conditional distribution of interest rates as a regime-switching process

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2009Spread, volatility and monetary policy: empirical evidence from the Indian overnight money market

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2002Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Ratesarticle · 15 shared references 2001Recent Advances in Estimating Term-Structure Modelsarticle · 15 shared references 2011Markov Switching Models in Empirical Financechapter · 14 shared references 2006Modeling the dynamics of interest rate volatility with skewed fat-tailed distributionsarticle · 14 shared references 2009Some recent developments in nonparametric financechapter · 13 shared references 2004Regime-switching stochastic volatility and short-term interest ratesarticle · 12 shared references

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Year2005

Typearticle

Published2005-05-26

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations17

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2004.05.002

openalex_workW2013807475

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