Journal article
Flexible threshold models for modelling interest rate volatility
- Abstract:
-
This paper focuses on interest rate models with regime switching and extends previous nonlinear threshold models by relaxing the assumption of a fixed number of regimes. Instead we suggest automatic model determination through Bayesian inference via the reversible jump Markov Chain Monte Carlo (MCMC) algorithm. Moreover, we allow the thresholds in the volatility to be driven not only by the interest rate but also by other economic factors. We illustrate our methodology by applying it to inter...
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- Publication status:
- Published
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- Publisher copy:
- 10.1080/07474930701220600
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Bibliographic Details
- Journal:
- ECONOMETRIC REVIEWS
- Volume:
- 26
- Issue:
- 2-4
- Pages:
- 419-437
- Publication date:
- 2007-01-01
- DOI:
- EISSN:
-
1532-4168
- ISSN:
-
0747-4938
- Source identifiers:
-
115994
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:115994
- UUID:
-
uuid:618f2810-0919-4c8a-980f-03ea83215b27
- Local pid:
- pubs:115994
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2007
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