An Econometric Model Of The Term Structure Of Interest Rates Under Regime Switching Risk
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An Econometric Model Of The Term Structure Of Interest Rates Under Regime Switching Risk
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Author : Shu Wu
language : en
Publisher:
Release Date : 2008
An Econometric Model Of The Term Structure Of Interest Rates Under Regime Switching Risk written by Shu Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper develops and estimates a continuous-time model of the term structure of interests under regime shifts. The model features an analytically simple representation of Markov regime shifts that helps elucidate the effect of regime shifts on the yield curve and give a clear interpretation of regime-switching risk premiums. The model falls within the broad class of essentially affine models with a closed form solution of the yield curve, yet it is flexible enough to accommodate priced regime-switching risk, time-varying transition probabilities, regime-dependent mean reversion coefficients as well as stochastic volatilities within each regime. A two-factor version of the model is implemented using Efficient Method of Moments. Empirical results show that the model can account for many salient features of the yield curve in the U.S.
Term Structure Of Interest Rates With Regime Shifts
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Author : Ravi Bansal
language : en
Publisher:
Release Date : 2001
Term Structure Of Interest Rates With Regime Shifts written by Ravi Bansal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Interest rate risk categories.
The Term Structure Of Interest Rates
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Author : John Driffill
language : en
Publisher:
Release Date : 1990
The Term Structure Of Interest Rates written by John Driffill and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Commerce categories.
This paper examines data on interest rates in the United Kingdom information on changes in policy regime and their credibility in order to discover the period from 1959-87 using quarterly data. A stochastic regime switching model used by Hamilton, based on an AR(4) model for short rates, and the corresponding model for long rates, does not adequately represent the UK data. Yields on long-term UK government debt behave consistently with the expectations model of the term structure, on a number of basic tests. Their relationship with yields on treasury bills, however, is not consistent with the theory unless an autoregressive risk premium is introduced into the holding period yield on long bonds. The only evidence of a change in the time-series behaviour of long bond yields in these data occurs at the end of 1974. There is no evidence of a policy change in 1979 or 1980. The hypothesis that these interest rates contain unit roots cannot be rejected. Therefore, tests of the expectations model devised by Campbell and Shiller to take account of unit roots in the data were undertaken, but they revealed no evidence of departures from the expectations model.
Testing The Term Structure Of Interest Rates From A Stationary Switching Regime Var
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Author : Martin Sola
language : en
Publisher:
Release Date : 1992
Testing The Term Structure Of Interest Rates From A Stationary Switching Regime Var written by Martin Sola and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Economics categories.
Testing The Term Structure Of Interest Rates From A Stationary Switching Regime Var
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Author : Martin Sola
language : en
Publisher:
Release Date : 1992
Testing The Term Structure Of Interest Rates From A Stationary Switching Regime Var written by Martin Sola and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
Modelling Yields At The Lower Bound Through Regime Shift
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2019
Modelling Yields At The Lower Bound Through Regime Shift written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Interest rates categories.
"The authors propose a regime-switching approach to deal with the lower bound on nominal interest rates in dynamic term structure modelling. In the "lower bound regime", the short term rate is expected to remain constant at levels close to the effective lower bound; in the "normal regime", the short rate interacts with other economic variables in a standard way. State-dependent regime switching probabilities ensure that the likelihood of being in the lower bound regime increases as short rates fall closer to zero. A key advantage of this approach is to capture the gradualism of the monetary policy normalization process following a lower bound episode. The possibility to return to the lower bound regime continues exerting an influence in the early phases of normalization, pulling expected future rates downwards. They apply our model to U.S. data and show that it captures key properties of yields at the lower bound. In spite of its heavier parameterization, the regime-switching model displays a competitive out-of-sample forecasting performance. It can also be used to gauge the risk of a return to the lower bound regime in the future. As of mid-2018, it provides a more benign assessment than alternative measures."--Abstract.
Regime Switching In The Term Structure Of Interest Rates
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Author : Kristin Ellen Adams
language : en
Publisher:
Release Date : 2002
Regime Switching In The Term Structure Of Interest Rates written by Kristin Ellen Adams and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Bayesian Filtering And Smoothing
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Author : Simo Särkkä
language : en
Publisher: Cambridge University Press
Release Date : 2013-09-05
Bayesian Filtering And Smoothing written by Simo Särkkä and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-05 with Computers categories.
A unified Bayesian treatment of the state-of-the-art filtering, smoothing, and parameter estimation algorithms for non-linear state space models.
Hidden Markov Models In Finance
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Author : Rogemar S. Mamon
language : en
Publisher: Springer
Release Date : 2014-05-14
Hidden Markov Models In Finance written by Rogemar S. Mamon and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-14 with Business & Economics categories.
Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.
An Introduction To Stochastic Processes And Their Applications
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Author : Chin Long Chiang
language : en
Publisher: Krieger Publishing Company
Release Date : 1980
An Introduction To Stochastic Processes And Their Applications written by Chin Long Chiang and has been published by Krieger Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Mathematics categories.
Random variables. Probability generating functions. Exponential-type distributions and maximum likelihood estimation. Branching process, random walk and ruin problem. Markov chains. Algebraic treatment of finite Markov chains. Renewal processes. Some stochastic models of population growth. A general birth process, an equality and an epidemic model. Birth-death processes and queueing processes. A simple illness-death process - fix-neyman processes. Multiple transition probabilities in the simple illness death process. Multiple transition time in the simple illness death process - an alternating renewal process. The kolmogorov differential equations and finite markov processes. Kolmogorov differential equations and finite markov processes - continuation. A general illness-death process. Migration processes and birth-illness-death processes.