Regime-switching and interest rates in the European monetary system

[1]  P. H. Kevin Chang,et al.  Arbitrage-Based Tests of Target-Zone Credibility: Evidence from ERM Cross-Rate Options , 1998 .

[2]  D. Duffie,et al.  A YIELD-FACTOR MODEL OF INTEREST RATES , 1996 .

[3]  Allan M. Malz.  Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark , 1996 .

[4]  Stephen Gray.  Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process , 1996 .

[5]  On Alternative Interest Rate Processes , 1996 .

[6]  Bruce E. Hansen,et al.  Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP , 1996 .

[7]  Thomas Bäck.  An Empirical Comparison , 1996 .

[8]  A. Rose,et al.  Expected and Predicted Realignments: The FF/DM Exchange Rate during the EMS, 1979-93 , 1995 .

[9]  Colin P. Hargreaves,et al.  Non-Stationary Time Series Analysis and Cointegration , 1994 .

[10]  Craig S. Hakkio,et al.  The Distribution of Exchange Rates in the EMS , 1994 .

[11]  Jun Cai.  A Markov Model of Switching-Regime ARCH , 1994 .

[12]  Andrew J. Filardo.  Business-Cycle Phases and Their Transitional Dynamics , 1994 .

[13]  A. Hadi.  A Modification of a Method for the Detection of Outliers in Multivariate Samples , 1994 .

[14]  W. Branson.  Comments: European exchange rate credibility before the fall by A.K. Rose and L.E.O. Svensson , 1994 .

[15]  G. Tabellini.  Comments : European exchange rate credibility before the fall by A.K. Rose and L.E.O. Svensson , 1994 .

[16]  James D. Hamilton.  Time Series Analysis , 1994 .

[17]  A. Rose,et al.  European Exchange Rate Credibility Before the Fall , 1993 .

[18]  Zhaohui Chen,et al.  The Determinants of Realignment Expectations Under the EMS: Some Empirical Regularities , 1993 .

[19]  F. Diebold,et al.  Regime Switching with Time-Varying Transition Probabilities , 2020, Business Cycles.

[20]  A. Hadi.  Identifying Multiple Outliers in Multivariate Data , 1992 .

[21]  Campbell R. Harvey,et al.  An Empirical Comparison of Alternative Models of the Short-Term Interest Rate , 1992 .

[22]  Paul Söderlind,et al.  Testing the Basic Target Zone Model on Swedish Data , 1992 .

[23]  Lars E. O. Svensson.  Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the Erm 1979-1992 , 1991 .

[24]  G. Bertola,et al.  Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models , 1991 .

[25]  Robert P. Flood,et al.  An Empirical Exploration of Exchange Rate Target-Zones , 1990, SSRN Electronic Journal.

[26]  James D. Hamilton.  Analysis of time series subject to changes in regime , 1990 .

[27]  Giuseppe Bertola,et al.  Target Zones and Realignments , 1990 .

[28]  James D. Hamilton.  A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle , 1989 .

[29]  P. Krugman,et al.  Target Zones and Exchange Rate Dynamics , 1991 .

[30]  James D. Hamilton.  Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates , 1988 .

[31]  S. Ross,et al.  A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .

[32]  L. Hansen.  Large Sample Properties of Generalized Method of Moments Estimators , 1982 .