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Keywords: Markov chain
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2011) 37 (11): 1025–1047.
Published: 27 September 2011
... the stochastic evolution of the state of the economy is modeled by a discrete‐time, finite‐state, Markov chain. Consequently, the model incorporates the impact of structural changes in (macro)‐economic conditions on interest‐rate dynamics. It also has some econometric advantages. In particular, the proposed...
