Regime-Switching Risk, Term Structure of Interest Rate and General Equilibrium
"An econometric model of the term structure of interest rates under regime-switching risk", ( with Shu Wu
), in R. Mamon and R. Elliott eds. "Hidden Markov Models: Further Developments and Applications, Vol. 2", Springer, (in press), 2013. text(pdf)
"Regime shifts and the term structure of interest rates," with C. Nieh and Shu Wu, in A. C. Lee & C. Lee eds, "Handbook of Quantitative Finance and Risk Management", Springer, pp. 1121 - 1133, 2010. text(pdf)
"An exact solution of the term structure of interest rate under regime-switching risk", ( with Shu Wu
), in R. Mamon and R. Elliott eds. "Hidden Markov Models in Finance", Springer, Cambridge. pp. 1-14. (2007) text(pdf)
"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)
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Last updated in Dec. 2013.