EconPapers    
Economics at your fingertips  
 

The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing

Edward Driffill (), Turalay Kenc, Martin Sola and Fabio Spagnolo

Studies in Nonlinear Dynamics & Econometrics, 2009, vol. 13, issue 1, 24

Abstract: We examine several discrete-time versions of the Cox, Ingersoll and Ross (CIR) model for the term structure, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that careful consideration of which parameters of the short-term interest rate equation that are allowed to be switched is crucial. Ignoring this issue may result in a parameterization that produces no improvement (in terms of bond pricing) relative to the standard CIR model, even when there are clear breaks in the data.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1490 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:13:y:2009:i:1:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.2202/1558-3708.1490

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

 
Page updated 2025-03-31
Handle: RePEc:bpj:sndecm:v:13:y:2009:i:1:n:1