Regime Switches in Interest Rates
- 1 April 2002
- journal article
- Published by Taylor & Francis Ltd in Journal of Business & Economic Statistics
- Vol. 20 (2), 163-182
- https://doi.org/10.1198/073500102317351930
Abstract
We examine the econometric performance of regime-switching models for interest rate data from the United States, Germany, and the United Kingdom. Regime-switching models forecast better out-ofsampl...This publication has 29 references indexed in Scilit:
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