Open AccessTerm Structure of Interest Rates with Regime Shifts
Author(s) -
Ravi Bansal,
Hao Zhou
Publication year - 2001
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2001.46
Subject(s) - econometrics , volatility (finance) , economics , affine transformation , affine term structure model , interest rate , term (time) , yield curve , statistical physics , mathematics , physics , macroeconomics , quantum mechanics , pure mathematics