A time-varying Markov chain model of term structure

被引：3

作者：

Mamon, RS ^{[1
]}

机构：

[1] Univ Waterloo, Dept Stat & Actuarial Sci, Fac Math, Waterloo, ON N2L 3G1, Canada

来源：

STATISTICS & PROBABILITY LETTERS | 2002年 / 60卷 / 03期

关键词：

Markov chain; term structure modeling; fundamental transition matrix;

D O I：

10.1016/S0167-7152(02)00313-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

页码：309 / 312

页数：4

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