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：
This paper provides the term structure characterization of a Markov interest rate model when the Markov chain is time dependent. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：309 / 312
页数：4
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