Regime-Switching Behavior of the Term Structure of Forward Markets
收藏NBER2005-08-01 更新2025-01-04 收录
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https://www.nber.org/papers/w11517
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资源简介：
This paper presents techniques for modelling and estimating the behavior of financial market price or return differentials that follow non-linear regime-switching behaviour. The methodology to be used here is estimation of variants of threshold autoregression (TAR) models. In the basic model the
提供机构：
美国国家经济研究局
创建时间：
2005-08-01
