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    A ffine Regime-Switching Models for Interest Rate Term Structure

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    Wu_Zeng_2003.pdf (227.9Kb)
    Issue Date
    2004
    Author
    Wu, Shu
    Zeng, Yong
    Publisher
    American Mathematical Society
    Type
    Article
    Article Version
    Scholarly/refereed, publisher version
    Published Version
    http://www.ams.org/mathscinet-getitem?mr=2076555
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    Abstract
    To model the impact of the business cycle, this paper develops a tractable dynamic term structure model under diffusion and regime shifts with time varying transition probabilities. The model offers flexible parameterization of the market prices of risk, including the price of regime switching risk. Closed form solutions for the term structure of interest rate are obtained for both a ffine- and quadratic-type models using log-linear approximation.
    Description
    First published in Contemporary Mathematics in 351, published by the American Mathematical Society. This is the publisher's version, also available electronically from http://www.ams.org/mathscinet-getitem?mr=2076555.
    URI
    http://hdl.handle.net/1808/13599
    ISSN
    2167-5163
    Collections
    • Economics Scholarly Works [183]
    Citation
    Shu Wu, Yong Zeng. 2004. "A ffine Regime-Switching Models for Interest Rate Term Structure." Contemporary Mathematics, 351:375–386. http://www.ams.org/mathscinet-getitem?mr=2076555

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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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