The term structure of interest rates under regime shifts and jumps

被引：11

作者：

Wu, Shu

Zeng, Yong

机构：

[1] Univ Kansas, Dept Econ, Lawrence, KS 66045 USA

[2] Univ Missouri, Dept Math & Stat, Kansas City, KS USA

来源：

ECONOMICS LETTERS | 2006年 / 93卷 / 02期

关键词：

term structure; regime switching; jump diffusion; marked point process;

D O I：

10.1016/j.econlet.2006.05.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper develops a tractable dynamic term structure models under jump-diffusion and regime shifts with time varying transition probabilities. The model allows for regime-dependent jumps while both jump risk and regime-switching risk are priced. Closed form solution for the term structure is obtained for an affine-type model under log-linear approximations. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：215 / 221

页数：7

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