A time-varying Markov chain model of term structure

Rogemar S. Mamon

Statistics & Probability Letters, 2002, vol. 60, issue 3, 309-312

Abstract: This paper provides the term structure characterization of a Markov interest rate model when the Markov chain is time dependent.

Keywords: Markov; chain; Term; structure; modeling; Fundamental; transition; matrix (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (4)

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