A regime-switching generalized CIR model with separate rate and credit blocks improves joint fitting of Chinese government and corporate bond curves over single-regime versions using 2014-2025 data.
Term structure of interest rates with regime shifts.The Journal of Finance, 57(5):1997–2043
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Corporate Bond Yield Curve Modeling: A Rating-Based Regime-Switching Generalized CIR Approach
A regime-switching generalized CIR model with separate rate and credit blocks improves joint fitting of Chinese government and corporate bond curves over single-regime versions using 2014-2025 data.