Work

Switching VARMA Term Structure Models

Year: 2006

Type: article

Source: Journal of Financial Econometrics

DOI: 10.1093/jjfinec/nbl009

Authors: A. Monfort, F. Pegoraro

Institutions: Conservatoire National des Arts et Métiers, Centre de Recherche en Économie et Statistique, Banque de France

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2097964577

FWCI: 3.97

Cites: 60

Cited by: 54

Related to: 10