Flexible Threshold Models for Modelling Interest Rate Volatility
提出一种灵活的阈值模型，通过贝叶斯推断自动确定机制转换的数量，并允许波动率阈值由利率及其他经济因素驱动，应用于美国经济数据。
This paper focuses on interest rate models with regime switching and extends previous nonlinear threshold models by relaxing the assumption of a fixed number of regimes. Instead we suggest automatic model determination through Bayesian inference via the reversible jump Markov Chain Monte Carlo (MCMC) algorithm. Moreover, we allow the thresholds in the volatility to be driven not only by the interest rate but also by other economic factors. We illustrate our methodology by applying it to interest rates and other economic factors of the American economy.