Multivariate Term Structure Models under Switching Regime
碩士 === 國立暨南國際大學 === 財務金融學系 === 98 === This paper proposes a multivariate term structure model with regime switching and level effects to investigate if taking account of these effects could improves data fitting and forecasting abilities. This model nests within it the Markov regime-switching time-v...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03431552143623163197 |