On the public citation graph

Affine regime-switching models for interest rate term structure

https://doi.org/10.1090/conm/351/06417
0 signed · 14 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1755439openalex-extracted
Exploration of the Brazilian Term Structure in a Hidden Markov Framework
inferred← citeshttps://doi.org/10.2139/ssrn.1974033openalex-extracted
A Feasible Arbitrage-Free Regime-Switching Model of the Term Structure
inferred← citeshttps://doi.org/10.2139/ssrn.2784350openalex-extracted
Levy-Driven Libor Models: Modeling and Numerical Analysis
inferred← citeshttps://doi.org/10.2139/ssrn.2916044openalex-extracted
(Analysis of Call Rate Behaviour Using Regime-switching Diffusion Process Model)
inferred← citeshttps://doi.org/10.1007/978-0-387-77117-5_72openalex-snapshot
Regime Shifts and the Term Structure of Interest Rates
inferred← citeshttps://doi.org/10.1007/s10203-011-0123-1openalex-snapshot
Option-based risk management of a bond portfolio under regime switching interest rates
inferred← citeshttps://doi.org/10.1016/j.nahs.2019.08.001openalex-snapshot
Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
inferred← citeshttps://doi.org/10.1016/j.orl.2004.12.003openalex-snapshot
Explicit solutions to European options in a regime-switching economy
inferred← citeshttps://doi.org/10.1080/14697688.2015.1136078openalex-snapshot
Pricing regime-switching risk in an HJM interest rate environment
inferred← citeshttps://doi.org/10.1080/14697688.2025.2506771openalex-snapshot
Semi-Markov-modulated exponential-affine bond prices
inferred← citeshttps://doi.org/10.1093/imaman/dpr018openalex-snapshot
Markovian regime-switching market completion using additional Markov jump assets
inferred← citeshttps://doi.org/10.1111/j.1467-9868.2006.00552.xopenalex-snapshot
Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
inferred← citeshttps://doi.org/10.1504/ijram.2009.022199openalex-snapshot
Option pricing in a hidden Markov model of the short rate with application to risky debt evaluation
inferred← citeshttps://doi.org/10.21078/jssi-2020-159-11openalex-snapshot
PMCMC for Term Structure of Interest Rates under Markov Regime Switching and Jumps
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.