Exploration of the Brazilian Term Structure in a Hidden Markov Framework /
We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high volati...
| Tác giả chính: | |
|---|---|
| Định dạng: | Tạp chí |
| Ngôn ngữ: | English |
| Được phát hành: |
Washington, D.C. :
International Monetary Fund,
2011.
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| Loạt: | IMF Working Papers; Working Paper ;
No. 2011/022 |
| Truy cập trực tuyến: | Full text available on IMF |