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Regime Switching and Bond Pricing · Study

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PreprintRegime Switching and Bond Pricing

Christian Gouriéroux2013

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Preprintgreen2013

Regime Switching and Bond Pricing

Christian Gouriéroux · Alain Monfort · Fulvio Pegoraro · Jean‐Paul Renne

17 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Credit Risk and Financial Regulations Economic theories and models

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References

1979Martingales and arbitrage in multiperiod securities markets 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1999Modeling Term Structures of Defaultable Bonds 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 1994Autoregressive conditional heteroskedasticity and changes in regime 2002International Asset Allocation With Regime Shifts 2002Asymmetric correlations of equity portfolios 1996Modeling the conditional distribution of interest rates as a regime-switching process

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Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2343117

openalex_workW3122232079

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