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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Beta Regimes for the Yield Curve |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Financial Econometrics |
| Publisher | Oxford University Press |
| Geographical Reach | international |
| ISSN | 1479-8409 |
| Volume | 5 |
| Number | 3 |
| Page Range | 456 - 490 |
| Date | 2007 |
| Abstract Text | We propose an affine term structure model which accommodates nonlinearities in the drift and volatility function of the short-term interest rate. Such nonlinearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed-form formula for the whole yield curve dynamics that can be estimated using a linearized Kalman filter. Fitting the model on US data, we collect empirical evidence of its potential in estimating conditional volatility and correlation across yields. |
| Digital Object Identifier | 10.1093/jjfinec/nbm007 |
| Other Identification Number | merlin-id:5913 |
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