Switching VARMA Term Structure Models - Extended Version

By Alain Monfort, Fulvio Pegoraro. 2006

60 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/504d9967fbab7fae7161b16408a7eb596e8459b0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Anh Le
2. Kenneth J. Singleton
3. Qiang Dai
4. Darrell Duffie
5. G. Duffee
6. Andrew Ang
7. Glenn D. Rudebusch
8. J. Wu

Citations in the corpus

• Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, background): “2 Our analysis extends immediately to the case of quadratic-Gaussian models discussed in Beaglehole and Tenney (1991), Ahn, Dittmar, and Gallant (2002), and Leippold and Wu (2002). This can be seen from the work of Cheng and Scaillet (2002), who show that quadratic-Gaussian models can be reinterpret”