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1. Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.. (2010). Idier, Julien ; Avouyi-Dovi, Sanvi.
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2. Identification of speculative bubbles using state-space models with Markov-switching. (2009). Wilfling, Bernd ; Al-Anaswah, Nael .
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3. Prior Elicitation in Multiple Change-point Models. (2007). Potter, Simon ; Koop, Gary.
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4. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
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5. The Fractional OU Process: Term Structure Theory and Application. (2006). Høg, Esben ; Hoeg, Esben.
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6. Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models.. (2006). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias.
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7. MODELING THE EURO OVERNIGHT RATE. (2006). Leon, ngel ; Nave, Juan ; Benito, Francis.
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8. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Frederiksen, Per H. ; Hog, Espen P..
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9. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
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10. Non-linear dynamics in the euro area demand for M1. (2006). Zaghini, Andrea ; Calza, Alessandro.
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11. The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective. (2005). Wu, Tao ; Rudebusch, Glenn.
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12. Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?. (2005). Wei, Min ; Bekaert, Geert ; Ang, Andrew.
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13. Whats Real About the Business Cycle?. (2005). Hamilton, James.
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14. On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models.. (2005). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias.
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15. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios.. (2005). MORANA, CLAUDIO ; Beltratti, Andrea.
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16. Is There a Unit Root in East-Asian Short-Term Interest Rates?. (2005). Chua, Chew ; Suardi, Sandy.
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17. Transition Variables in the Markov-switching Model: Some Small Sample Properties. (2005). Erlandsson, Ulf.
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18. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
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19. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
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20. Term structure of risk under alternative econometric specifications. (2005). Guidolin, Massimo ; Timmerman, Allan.
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21. Whats real about the business cycle?. (2005). Hamilton, James.
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22. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
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23. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2005). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
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24. Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption. (2004). Kostov, Philip ; Lingard, John.
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25. Lags in the response of gasoline prices to changes in crude oil. (2004). Radchenko, Stanislav.
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26. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
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27. Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates. (2004). Tillmann, Peter.
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28. What Does the Yield Curve Tell us about GDP Growth?. (2004). Wei, Min ; Piazzesi, Monika ; Ang, Andrew ; Piazessi, Monika.
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29. Regime-dependent synchronization of growth cycles between Japan and East Asia. (2004). girardin, eric.
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30. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, Mohammad.
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31. Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español. (2004). Robles Fernandez, M. Dolores.
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32. Forecasting and estimating multiple change-point models with an unknown number of change points. (2004). Potter, Simon ; Koop, Gary.
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33. The term structure of real rates and expected inflation. (2004). Bekaert, Geert ; Ang, Andrew.
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34. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
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35. Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates. (2004). Tillmann, Peter.
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36. STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach. (2004). Morais, Igor ; Portugal, M. ; de Morais, I. A..
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37. Forecasting Value-at-Risk Using the Markov-Switching ARCH Model. (2004). Gau, Yin-Feng ; Tang, Wei-Ting.
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38. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
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39. On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts. (2004). Spagnolo, Fabio ; Sola, Martin ; Kenc, Turalay ; Driffill, Edward.
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40. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, Mohammad.
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41. ‘Forecasting Time Series Subject to Multiple Structural Breaks’. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, Mohammad.
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42. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
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43. Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate. (2003). Laurini, Márcio.
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44. Long Memory int the R$/US$ Exchange Rate: A Robust Analysis. (2003). Laurini, Márcio.
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45. What does the yield curve tell us about GDP growth?. (2003). Wei, Min ; Piazzesi, Monika ; Ang, Andrew.
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46. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, Mohammad.
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47. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, Mohammad.
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48. Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate. (2002). Campbell, Sean D..
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49. A Survey on Interest Rate Forecasting. (1999). Zimmermann, Christian ; Paquet, Alain ; Fauvel, Yvon.
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50. Beta Regimes for the Yield Curve. (). De Giorgi, Enrico ; Audrino, Francesco.
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