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Dai, Q., Singleton, K.J. and Yang, W. (2007) Regime Shifts in a Dynamic Term Structure Model of US Treasury Bond Yields. Review of Financial Studies, 20, 1669-1706.
http://dx.doi.org/10.1093/rfs/hhm021

has been cited by the following article:

• TITLE: Identification and Estimation of Gaussian Affine Term Structure Models with Regime Switching

  AUTHORS: Gang Wang

  KEYWORDS: Regime Switching, GDTSMs, Identification, Estimation

  JOURNAL NAME: Journal of Mathematical Finance, Vol.4 No.3, April 22, 2014

  ABSTRACT: We establish that [1]’s parameters are universally unidentified and a subset of their parameterization is over identified. As a solution to the problem with the identifiability, we propose a new representation of double-regime three-factor GDTSMs whose parameters are just-identified when the number of the pricing-with-error yields equals 2. This new parametrization has another advantage over [2] in that we can back out Q parameters andP parameters separately and make the estimation of structural parameters easier. Finally, we show that regime-switching three-factor arbitrage-free dynamic Nelson-Siegel model is a restricted special case of our model.