Exploration of the Brazilian Term Structure in a Hidden Markov Framework /

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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखक:	Munclinger, Richard
स्वरूप:	पत्रिका
भाषा:	English
प्रकाशित:	Washington, D.C. : International Monetary Fund, 2011.
श्रृंखला:	IMF Working Papers; Working Paper ; No. 2011/022
ऑनलाइन पहुंच:	Full text available on IMF

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