Journal of Applied Econometrics, Vol. 20, No. 2, Recent Developments in Business Cycle Analysis (2005), pp. 253-274 (22 pages) The objective of this paper is to evaluate the effectiveness of using a ...
This article empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the ...
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