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...
| Huvudupphovsman: | |
|---|---|
| Materialtyp: | Tidskrift |
| Språk: | English |
| Publicerad: |
Washington, D.C. :
International Monetary Fund,
2011.
|
| Serie: | IMF Working Papers; Working Paper ;
No. 2011/022 |
| Länkar: | Full text available on IMF |