Exploration of the Brazilian Term Structure in a Hidden Markov Framework

Exploration of the Brazilian Term Structure in a Hidden Markov Framework
We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model''s characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high volatility regime and a low level and low volatility regime. READ MORE...

Publication date: January 2011
ISBN 9781455211937
$18.00

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