A semi-Markov modulated interest rate model

D’Amico, Guglielmo, Raimondo Manca and Giovanni Salvi

Statistics & Probability Letters, 2013, vol. 83, issue 9, 2094-2102

Abstract: We propose a semi-Markov modulated interest rate model. We assume that the switching process is a semi-Markov process with finite state space and the modulated process is a diffusive process. Classical models such as those by Vasicek and CIR are generalized.

Keywords: Semi-Markov process; Interest rate; Higher order moments (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715213001855
Full text for ScienceDirect subscribers only

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:eee:stapro:v:83:y:2013:i:9:p:2094-2102

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2013.05.024

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().