An Infinite Hidden Markov Model for Short-term Interest Rates
In: ShanghaiTech SEM Working Paper No. 2020-003
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In: ShanghaiTech SEM Working Paper No. 2020-003
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Working paper
In: International journal of forecasting, Band 30, Heft 1, S. 144-160
ISSN: 0169-2070
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In: Journal of Business & Economic Statistics, January 2000, Vol 18, No. 1, pp. 100-112
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In: Journal of Financial Econometrics, Band 5, Heft 4, S. 560-590
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In: Journal of Business & Economic Statistics, Band 18, Heft 1
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In: Journal of Financial Econometrics, Forthcoming
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In: ShanghaiTech SEM Working Paper No. 2022-001
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In: ShanghaiTech SEM Working Paper No. 2020-008
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Working paper
In: International journal of forecasting, Band 36, Heft 2, S. 570-587
ISSN: 0169-2070
In: ShanghaiTech SEM Working Paper No. 2018-005
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Working paper
In: Forthcoming, Finance Research Letters, https://doi.org/10.1016/j.frl.2021.102091
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Working paper
In: Journal of Financial Economics 110 (2013) 457-477, Available at: http://dx.doi.org/10.1016/j.jfineco.2013.07.006
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