An Empirical Examination of Term Structure Models with Regime Shifts

Martin Sola, John Driffil and Turalay Kenc

No 65, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: Term structure of interest rates; bond yields; stochastic discount factor/pricing kernel; and regime switching. (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: Written 2003-08-01

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Working Paper: An Empirical Examination of Term Structure Models with Regime Shifts (2003)
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