An infinite hidden Markov model for short-term interest rates

doi:10.1016/j.jempfin.2016.06.006

	An infinite hidden Markov model for short-term interest rates
	Maheu, John M.1,2; Yang, Qiao3
	2016-09
发表期刊	JOURNAL OF EMPIRICAL FINANCE (IF:2.1[JCR-2023],3.0[5-Year])
ISSN	0927-5398
卷号	38 页码:202-220
发表状态	已发表
DOI	10.1016/j.jempfin.2016.06.006
摘要	The time-series dynamics of short-term interest rates are important as they are a key input into pricing models of the term structure of interest rates. In this paper we extend popular discrete time short-rate models to include Markov switching of infinite dimension. This is a Bayesian nonparametric model that allows for changes in the unknown conditional distribution over time. Applied to weekly U.S. data we find significant parameter change over time and strong evidence of non-Gaussian conditional distributions. Our new model with a hierarchical prior provides significant improvements in density forecasts as well as point forecasts. We find evidence of recurring regimes as well as structural breaks in the empirical application. (C) 2016 Elsevier B.V. All rights reserved.
关键词	Hierarchical Dirichlet process prior Beam sampling Markov switching MCMC
收录类别	SSCI
语种	英语
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:000384383000011
出版者	ELSEVIER SCIENCE BV
WOS关键词	TIME-SERIES SUBJECT ; STRUCTURAL BREAKS ; REGIME ; INFERENCE ; SHIFTS
原始文献类型	Article
引用统计	正在获取...
文献类型	期刊论文
条目标识符	https://kms.shanghaitech.edu.cn/handle/2MSLDSTB/1717
专题	创业与管理学院_PI研究组_杨乔组
通讯作者	Maheu, John M.
作者单位	1.McMaster Univ, DeGroote Sch Business, 1280 Main St W, Hamilton, ON L8S 4M4, Canada 2.RCEA, Rimini, RN, Italy 3.ShanghaiTech Univ, Sch Entrepreneurship & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Maheu, John M.,Yang, Qiao. An infinite hidden Markov model for short-term interest rates[J]. JOURNAL OF EMPIRICAL FINANCE,2016,38:202-220.
APA	Maheu, John M.,&Yang, Qiao.(2016).An infinite hidden Markov model for short-term interest rates.JOURNAL OF EMPIRICAL FINANCE,38,202-220.
MLA	Maheu, John M.,et al."An infinite hidden Markov model for short-term interest rates".JOURNAL OF EMPIRICAL FINANCE 38(2016):202-220.