Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates

By Daniel R. Smith. 2002

121 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4624d19e0d092c7e0056189cd961c99e9c33a79e

How researchers see this paper

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In Economics and Econometrics

1. Fotios Petropoulos
2. Konstantinos Nikolopoulos
3. Rob J Hyndman
4. Nikolaos Kourentzes
5. Vassilios Assimakopoulos
6. Evangelos Spiliotis
7. Spyros Makridakis
8. Christoph Bergmeir

In Finance

1. David F. Hendry
2. David E. Rapach
3. Michael P. Clements
4. Jennifer L. Castle
5. Feng Li
6. Xiaoqian Wang
7. Yanfei Kang
8. Allan G. Timmermann

Citations in the corpus

• Forecasting: theory and practice (2020, methodology): “Further advances in the methods and applications of MS GARCH are Haas et al. (2004) and Smith (2002).”