A regime-switching model to evaluate bonds in a quadratic term structure of interest rates

Applied Financial Economics ◽

10.1080/09603107.2014.925062 ◽

2014 ◽

Vol 24 (21) ◽

pp. 1361-1366 ◽

Author(s):

Raphaël Homayoun Boroumand ◽

Stéphane Goutte ◽

Thomas Porcher

Keyword(s):

Interest Rates ◽

Term Structure ◽

Regime Switching ◽

Quadratic Term ◽

Regime Switching Model ◽

Switching Model ◽

Quadratic Term Structure

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Research of market interest rates of the SHIBOR based on regime switching model

JOURNAL OF SHENZHEN UNIVERSITY SCIENCE AND ENGINEERING ◽

10.3724/sp.j.1249.2015.03317 ◽

2015 ◽

Vol 32 (3) ◽

pp. 317 ◽

Author(s):

Xiangdong Liu ◽

Hui Guo

Keyword(s):

Interest Rates ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model

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Linear-quadratic term structure models – Toward the understanding of jumps in interest rates

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2008.08.018 ◽

2009 ◽

Vol 33 (3) ◽

pp. 473-485 ◽

Author(s):

George Jiang ◽

Shu Yan

Keyword(s):

Interest Rates ◽

Term Structure ◽

Quadratic Term ◽

Linear Quadratic ◽

Term Structure Models ◽

Quadratic Term Structure

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A Feasible Arbitrage-Free Regime-Switching Model of the Term Structure

SSRN Electronic Journal ◽

10.2139/ssrn.1974033 ◽

2011 ◽

Author(s):

Wachindra Bandara ◽

Richard Munclinger

Keyword(s):

Term Structure ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model

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Household lending, interest rates and housing price bubbles in Korea: Regime switching model and Kalman filter approach

Economic Modelling ◽

10.1016/j.econmod.2011.02.001 ◽

2011 ◽

Vol 28 (3) ◽

pp. 1415-1423 ◽

Author(s):

Bong Han Kim ◽

Hong-Ghi Min

Keyword(s):

Kalman Filter ◽

Interest Rates ◽

Regime Switching ◽

Housing Price ◽

Regime Switching Model ◽

Switching Model ◽

Price Bubbles ◽

Filter Approach

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A Regime Switching Model for the Term Structure of Credit Risk Spreads

Journal of Mathematical Finance ◽

10.4236/jmf.2015.51005 ◽

2015 ◽

Vol 05 (01) ◽

pp. 49-57 ◽

Author(s):

Seungmook Choi ◽

Michael D. Marcozzi

Keyword(s):

Credit Risk ◽

Term Structure ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model

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Properties of American options under a Markovian Regime Switching Model

Communications in Statistics Case Studies Data Analysis and Applications ◽

10.1080/23737484.2021.1958272 ◽

2021 ◽

pp. 1-17

Author(s):

Marko Dimitrov ◽

Lu Jin ◽

Ying Ni

Keyword(s):

Regime Switching ◽

American Options ◽

Regime Switching Model ◽

Switching Model ◽

Markovian Regime Switching ◽

Markovian Regime

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Nonlinear investigations of China's agricultural transformation based on the structural break regime switching model

China Agricultural Economic Review ◽

10.1108/17561371211196775 ◽

2012 ◽

Vol 4 (1) ◽

pp. 52-68 ◽

Author(s):

Jie Lu ◽

Angang Hu ◽

Yilong Yan

Keyword(s):

Regime Switching ◽

Structural Break ◽

Regime Switching Model ◽

Switching Model ◽

Agricultural Transformation

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Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint

Applied Mathematics and Computation ◽

10.1016/j.amc.2017.04.034 ◽

2017 ◽

Vol 313 ◽

pp. 103-118 ◽

Author(s):

Fengxia Hu ◽

Rongming Wang

Keyword(s):

At Risk ◽

Regime Switching ◽

Value At Risk ◽

Optimal Investment ◽

Regime Switching Model ◽

Switching Model ◽

Risk Constraint

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Positivity Preserving Numerical Method for Optimal Portfolio in a Power Utility Two-Dimensional Regime-Switching Model

Numerical Methods and Applications - Lecture Notes in Computer Science ◽

10.1007/978-3-030-10692-8_48 ◽

2019 ◽

pp. 424-432 ◽

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Numerical Method ◽

Regime Switching ◽

Optimal Portfolio ◽

Two Dimensional ◽

Positivity Preserving ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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A Markov regime-switching model for the semiconductor industry cycles

Economic Modelling ◽

10.1016/j.econmod.2006.02.007 ◽

2006 ◽

Vol 23 (4) ◽

pp. 569-578 ◽

Author(s):

Wen-Hsien Liu ◽

Yih-Luan Chyi

Keyword(s):

Regime Switching ◽

Semiconductor Industry ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Markov Regime Switching Model

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