Tree-Structured Multiple Regimes in Interest Rates
Bibliographic Data
| ID | 19419656 |
|---|---|
| Authors | Francesco Audrino (0000-0002-2038-9362, Università della Svizzera italiana, corresponding author) |
| Year | 2006 |
| Volume | 24 |
| Issue | 3 |
| Pages | 338-353 |
| Publication date | 2006-07-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500106000000053 |
| OpenAlex | W2016156724 |
| Language | EN |
| Citations received | 1 |
| References cited | 28 |
This article develops a generalized tree-structured (GTS) model of the short-term interest rate that accommodates regime-dependent mean reversion and regime-dependent volatility clustering and level effects in the conditional variance. The model is constructed using the idea of multivariate tree-structured thresholds and nests the popular generalized autoregressive conditional heteroscedasticity and square root processes as simple special cases. It allows us to estimate the optimal number of regimes endogenously from the data and to exploit possible additional information in the term structure and in other macroeconomic variables. We provide empirical evidence of the strong potential of the GTS model in forecasting conditional first and second moments, also in comparison with alternative models of the short rate
Autoregressive conditional heteroskedasticity · Autoregressive model · Conditional variance · Econometrics · Economics · Heteroscedasticity · Interest rate · Mean reversion · Statistics · Volatility clustering · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
Time Series Analysis
An Introduction to the Bootstrap
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
Regime Switches in Interest Rates
Persistence in Variance, Structural Change, and the GARCH Model
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
An Analysis of the Real Interest Rate Under Regime Shifts
| Citations per year | 0.07 |
|---|---|
| Citation span | 2011 - 2011 (1) |
| Highly cited | No |