FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1488498738> ?p ?o ?g. }

• W1488498738 endingPage "83" @default.
• W1488498738 startingPage "55" @default.
• W1488498738 abstract "AbstractThis paper develops and estimates a continuous-time model of the term structure of interests under regime shifts. The model uses an analytically simple representation of Markov regime shifts that elucidates the effects of regime shifts on the yield curve and gives 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.KeywordsInterest RateRisk PremiumTerm StructureYield CurveRegime ShiftThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves." @default.
• W1488498738 created "2016-06-24" @default.
• W1488498738 creator A5039519618 @default.
• W1488498738 creator A5065591479 @default.
• W1488498738 date "2014-01-01" @default.
• W1488498738 modified "2023-09-23" @default.
• W1488498738 title "An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk" @default.
• W1488498738 cites W1511098757 @default.
• W1488498738 cites W1539673959 @default.
• W1488498738 cites W1970273488 @default.
• W1488498738 cites W1971826192 @default.
• W1488498738 cites W1972788732 @default.
• W1488498738 cites W1973459395 @default.
• W1488498738 cites W1985018066 @default.
• W1488498738 cites W1992369571 @default.
• W1488498738 cites W1997955876 @default.
• W1488498738 cites W2012242451 @default.
• W1488498738 cites W2012383489 @default.
• W1488498738 cites W2019746656 @default.
• W1488498738 cites W2032051342 @default.
• W1488498738 cites W2032488332 @default.
• W1488498738 cites W2035496417 @default.
• W1488498738 cites W2037033038 @default.
• W1488498738 cites W2037204243 @default.
• W1488498738 cites W2058340245 @default.
• W1488498738 cites W2068629725 @default.
• W1488498738 cites W2074812030 @default.
• W1488498738 cites W2080880958 @default.
• W1488498738 cites W2097874694 @default.
• W1488498738 cites W2107154863 @default.
• W1488498738 cites W2109646609 @default.
• W1488498738 cites W2117436269 @default.
• W1488498738 cites W2128475248 @default.
• W1488498738 cites W2159723913 @default.
• W1488498738 cites W2233901886 @default.
• W1488498738 cites W2484199605 @default.
• W1488498738 cites W3021444882 @default.
• W1488498738 cites W3093578674 @default.
• W1488498738 cites W3099245154 @default.
• W1488498738 cites W3121197066 @default.
• W1488498738 cites W3122150532 @default.
• W1488498738 cites W3122420083 @default.
• W1488498738 cites W3122758267 @default.
• W1488498738 cites W3122901086 @default.
• W1488498738 cites W3123262494 @default.
• W1488498738 cites W3123321876 @default.
• W1488498738 cites W3123369983 @default.
• W1488498738 cites W3124755002 @default.
• W1488498738 cites W3124893256 @default.
• W1488498738 cites W3125050320 @default.
• W1488498738 cites W3125174933 @default.
• W1488498738 doi "https://doi.org/10.1007/978-1-4899-7442-6_3" @default.
• W1488498738 hasPublicationYear "2014" @default.
• W1488498738 type Work @default.
• W1488498738 sameAs 1488498738 @default.
• W1488498738 citedByCount "2" @default.
• W1488498738 countsByYear W14884987382016 @default.
• W1488498738 countsByYear W14884987382021 @default.
• W1488498738 crossrefType "book-chapter" @default.
• W1488498738 hasAuthorship W1488498738A5039519618 @default.
• W1488498738 hasAuthorship W1488498738A5065591479 @default.
• W1488498738 hasConcept C105795698 @default.
• W1488498738 hasConcept C121332964 @default.
• W1488498738 hasConcept C121864883 @default.
• W1488498738 hasConcept C134121241 @default.
• W1488498738 hasConcept C135205223 @default.
• W1488498738 hasConcept C149782125 @default.
• W1488498738 hasConcept C154945302 @default.
• W1488498738 hasConcept C162324750 @default.
• W1488498738 hasConcept C175025494 @default.
• W1488498738 hasConcept C176230804 @default.
• W1488498738 hasConcept C17744445 @default.
• W1488498738 hasConcept C180075932 @default.
• W1488498738 hasConcept C199360897 @default.
• W1488498738 hasConcept C199539241 @default.
• W1488498738 hasConcept C202444582 @default.
• W1488498738 hasConcept C2776359362 @default.
• W1488498738 hasConcept C2780719617 @default.
• W1488498738 hasConcept C33923547 @default.
• W1488498738 hasConcept C40753778 @default.
• W1488498738 hasConcept C41008148 @default.
• W1488498738 hasConcept C527412718 @default.
• W1488498738 hasConcept C556758197 @default.
• W1488498738 hasConcept C61797465 @default.
• W1488498738 hasConcept C62520636 @default.
• W1488498738 hasConcept C92757383 @default.
• W1488498738 hasConcept C94625758 @default.
• W1488498738 hasConcept C97355855 @default.
• W1488498738 hasConcept C98763669 @default.
• W1488498738 hasConceptScore W1488498738C105795698 @default.
• W1488498738 hasConceptScore W1488498738C121332964 @default.
• W1488498738 hasConceptScore W1488498738C121864883 @default.
• W1488498738 hasConceptScore W1488498738C134121241 @default.
• W1488498738 hasConceptScore W1488498738C135205223 @default.
• W1488498738 hasConceptScore W1488498738C149782125 @default.
• W1488498738 hasConceptScore W1488498738C154945302 @default.
• W1488498738 hasConceptScore W1488498738C162324750 @default.
• W1488498738 hasConceptScore W1488498738C175025494 @default.

• next