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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Beta Regimes for the Yield Curve |
| Organization Unit | |
| Authors |
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| Institution | University of Zurich |
| Series Name | Working paper series / Institute for Empirical Research in Economics |
| Number | No. 244 |
| ISSN | 1424-0459 |
| Date | 2005 |
| Abstract Text | We propose an a±ne term structure model which accommodates non-linearities in the drift andnvolatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed-form formulanfor 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 volatilitynand correlation across yields. |
| Official URL | http://www.econ.uzh.ch/wp.html |
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