Driffill, John and Kenc, T. and Sola, Martin and Spagnolo, F. (2009) The effects of different parameterizations of Markov-switching in a CIR model of bond pricing. Studies in Nonlinear Dynamics & Econometrics 13 (1), ISSN 1081-1826.
|
Text (Publisher draft (refereed))
1934.pdf Download (645kB) | Preview |
Abstract
We examine several discrete-time versions of the Cox, Ingersoll and Ross (CIR) model for the term structure, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that careful consideration of which parameters of the short-term interest rate equation that are allowed to be switched is crucial. Ignoring this issue may result in a parameterization that produces no improvement (in terms of bond pricing) relative to the standard CIR model, even when there are clear breaks in the data.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Administrator |
| Date Deposited: | 28 Jan 2011 14:32 |
| Last Modified: | 12 Jun 2025 19:19 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/1992 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
