The possible shapes of recoveries in Markov-Switching models

This paper explores the various shapes the recoveries may exhibit within a Markov- Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the appr...

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Bibliographic details
Main Author: Ferrara, Laurent
Bec, Frédérique
Bouabdallah, Othman
Format: Paper
Language: English
Place of publication: 2011
Related: THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
Data of publication: 2011
Series: THEMA Working Papers
Subjects:
Online Access: available in Bonn?
Database: RePEc
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