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ArticleRegime-switching stochastic volatility and short-term interest rates

Madhu Kalimipalli2004

Article2004

Regime-switching stochastic volatility and short-term interest rates

Madhu Kalimipalli · Raúl Susmel

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

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

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References

1985A Theory of the Term Structure of Interest Rates 1994Comparing Predictive Accuracy 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 1994Autoregressive conditional heteroskedasticity and changes in regime 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 1996Modeling the conditional distribution of interest rates as a regime-switching process

Cited by

2008Markov switching GARCH models of currency turmoil in Southeast Asia 2005Explicit solutions to European options in a regime-switching economy 2016An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching 2005Volatility Transmission Models: A Survey 2022Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate

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2011Markov Switching Models in Empirical Financechapter · 13 shared references 2009Stochastic Volatilityother · 13 shared references 2007Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short ratesarticle · 12 shared references 2001Recent Advances in Estimating Term-Structure Modelsarticle · 11 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 10 shared references 2009Regime-switching stochastic volatility: Evidence from the crude oil marketarticle · 10 shared references

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Year2004

Typearticle

Published2004-04-10

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations69

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jempfin.2003.10.001

openalex_workW2164070899

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