## Abstract The article investigates the effect of interestβrate variance on the shape of the yield curve with the use of a bivariate twoβstate Markov switching model for the shortβrate changes and the yield curve slope. The two states are characterized by the variance of the shortβrate changes: lo
β¦ LIBER β¦
ac Dynamics of NbSe3 in the switching regime
β Scribed by R.P. Hall; A. Zettl
- Publisher
- Elsevier Science
- Year
- 1985
- Tongue
- English
- Weight
- 319 KB
- Volume
- 55
- Category
- Article
- ISSN
- 0038-1098
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## Abstract We characterize conditions under which the regime switching (RS) hedge strategy will perform better than the ordinary least squares (OLS) hedge strategy. The result can be extended to the case where the GARCH effects prevail. Specifically, these conditions would allow the RSβGARCH hedge