A Markov switching unobserved component analysis of the CDX index term premium

Using a Markov switching unobserved component model we decompose the term premium of the North American CDX index into a permanent and a stationary component. We establish that the inversion of the CDX term premium is induced by sudden changes in the unobserved stationary component, which represents...

Full description

Saved in:
Bibliographic Details
Main Authors: Giovanni Calice, Christos Ioannidis, RongHui Miao
Format: Default Article
Published: 2016
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other law and legal studies not elsewhere classified
CDX index
Markov switching
State space
Variance decomposition
Term premium
Law
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/20697
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items