Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062281 | Economics Letters | 2006 | 7 Pages |
Abstract
This paper develops a tractable dynamic term structure models under jump-diffusion and regime shifts with time varying transition probabilities. The model allows for regime-dependent jumps while both jump risk and regime-switching risk are priced. Closed form solution for the term structure is obtained for an affine-type model under log-linear approximations.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Shu Wu, Yong Zeng,