Regime-Switching Risk, Term Structure of Interest Rate and General Equilibrium


  • "The Term Structure of Interest Rates under Regime Shifts and Jumps" ( with Shu Wu ), Economics Letters (2006) Vol.93 (2) pp. 215-221. link
  • "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk"( with Shu Wu ), text(pdf) International Journal of Theoretical and Applied Finance (IJTAF) (2005) Vol. 8 (7) pp. 839-869. link
  • "Affine Regime-Switching Models for Interest Rate Term Structure"( with Shu Wu ), in AMS (American Mathematical Society) Contemporary Mathematics, Vol. 351, "Mathematics of Finance", Ed. by G. Yin and Q. Zhang, pp. 375 - 386, 2004. text(pdf)
  • "Monetary Policy Inertia and the Term Structure of Interest Rates"( with Shu Wu ), working paper.

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    Last modified: Dec. 2006 by Yong Zeng