Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Regime-switches"
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Calibration of vasicek model in a hidden markov context: the case of Kenya
(Strathmore University, 2017)This dissertation calibrates the Vasicek term-structure model to the evolution of interest rate dynamics in Kenya. This is done for both a single-state and a multi-state model using state estimated under a Hidden Markov ...