Regime shifts in a dynamic term structure model of U.S. Treasury bond yields

By Qiang Dai, Kenneth J. Singleton, Wei Yang. 2007

283 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0e07f2e997ab13e341dbf6086117627e71a55ead

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Citations in the corpus

Regime Changes and Financial Markets (2012, background): “Dai, Singleton and Yang (2007) present a similar regime switching model that incorporates regime-dependent mean reversion and regime-dependent probabilities under the real measure, but these parameters still cannot switch regimes under the risk-neutral pricing measure.”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “To explore this conjecture jointly with our assumption that the post-1985 period is adequately treated as a single regime, we estimate a regime-switching version of our model, adapting the methodology of Dai, Singleton, and Yang (2007).”
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2008, unknown): “5In recent years, several authors have written regime-switching models of the term structure (see, e.g., Bansal and Zhou 2002, Ang and Bekaert 2002, Dai, Singleton, and Yang 2003).”
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, unknown): “…rates (e.g., Gray (1996) and Ang and Bekaert (2002)), and recently Naik and Lee (1997), Evans (2000), Boudoukh, Richardson, Smith, and Whitelaw (1999), Bansal and Zhou (2002), Ang and Bekaert (2005), and Dai, Singleton, and Yang (2005), among others, have introduced regime switching into DTSMs.”
Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, background): “Ang and Bekaert (2005) and Dai, Singleton, and Yang (2007) study DTSMs in which X follows a regime-switching D AQ0 (N ) process, with the latter study allowing for priced regime-shift risk.”
Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, unknown): “As shown in Dai, Singleton, and Yang (2007) and Ang, Bekaert, and Wei (2008), one can incorporate regime shifts in the conditional mean, conditional covariance, or conditional probability of jumps into standardAJDs.”
Forecasting: theory and practice (2020, background): “n the model speciﬁcations that are not rejected by formal tests include MS (Ang et al., 2008; Bansal and Zhou, 2002). MSMs can reproduce the empirical puzzles that plague the EH (Bansal et al., 2004; Dai et al., 2007). Finally, MSMs were proposed to forecast conditional variances. Cai (1994) develop”