Regime-switching and interest rates in the European monetary system
暂无分享,去创建一个
[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 , 1982 .