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Tag: expectations-hypothesis
2 items with this tag.
Apr 13, 2026
A 2-state Markov regime-switching CIR term-structure model jointly captures conditional volatility, conditional correlation, and Campbell-Shiller expectations-hypothesis violations on US Treasury yields
term-structure
regime-switching
cir
expectations-hypothesis
conditional-volatility
Apr 13, 2026
Term Structure of Interest Rates with Regime Shifts
term-structure
regime-switching
cir
emm
expectations-hypothesis
business-cycle