Exploration of the Brazilian Term Structure in a Hidden Markov Framework
January 1, 2011
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Format: Chicago
Summary
Subject: Econometric analysis, Financial regulation and supervision, Financial services, Inflation, Market risk, Markov-switching models, Prices, Time series analysis, Yield curve
Keywords: Affine regime, ATSM, Brazil, Hidden Markov Models, Inflation, Market price, Market risk, Markov chain, Markov-switching models, MCMC, Mean reversion, State process, State transition, Term Structure, Time series, Time series analysis, Volatility regime, WP, Yield curve
Publication Details
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Pages:
31
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Volume:
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DOI:
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Issue:
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Series:
Working Paper No. 2011/022
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Stock No:
WPIEA2011022
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ISBN:
9781455211937
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ISSN:
1018-5941