Arbeitspapier
Regime Switches in Swedish Interest Rates
This paper examines the forecasting properties of a Markov regime-switching model applied to Swedish interest rate volatility. A Monte Carlo testing procedure is used to arrive at a three state specification that is able to capture the high degree of leptokurtosis in the data without additional modelling of conditional heteroskedasticity. The final specification is shown to possess good forecasting properties both in general and for specific samples and horizons, something that the benchmark processes are unable to achieve.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2002:5
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
Regime switching
forecasting
volatility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Erlandsson, Ulf
- Ereignis
-
Veröffentlichung
- (wer)
-
Lund University, School of Economics and Management, Department of Economics
- (wo)
-
Lund
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Erlandsson, Ulf
- Lund University, School of Economics and Management, Department of Economics
Entstanden
- 2003
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