Nonlinear interest rate dynamics and implications for the terms structure

DOI10.1016/0304-4076(95)01754-2zbMath0865.62087OpenAlexW2077727672MaRDI QIDQ1126499

Gerard A. Pfann, Rolf Tschernig, Peter C. Schotman

Publication date: 8 December 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01754-2

zbMATH Keywords

term structure of interest ratesnonlinear dynamicsconditional heteroskedasticityUnited StatesSETAR modelsshort-term interest rateautoregressive threshold model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (17)

EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ Contemporaneous threshold autoregressive models: estimation, testing and forecasting ⋮ Flexible Threshold Models for Modelling Interest Rate Volatility ⋮ A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models ⋮ Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ Threshold nonlinear interest rates ⋮ Quantile Regression on Quantile Ranges - A Threshold Approach ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ Interest rate prediction: a neuro-hybrid approach with data preprocessing ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics ⋮ A competing risks analysis of the duration of federal target funds rates ⋮ Bond pricing when the short-term interest rate follows a threshold process ⋮ Forecasting with non-homogeneous hidden Markov models ⋮ How can we Define the Concept of Long Memory? An Econometric Survey ⋮ SELF EXCITING THRESHOLD INTEREST RATES MODELS ⋮ Forecasting with non-homogeneous hidden Markov models ⋮ Short rate nonlinearities and regime switches.

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The term structure of interest rates in real and monetary economies
• A Bayesian analysis of some threshold switching models
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Time series: theory and methods.
• Markov chains for exploring posterior distributions. (With discussion)
• A Theory of the Term Structure of Interest Rates
• A multiple-threshold AR(1) model
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• An equilibrium characterization of the term structure

This page was built for publication: Nonlinear interest rate dynamics and implications for the terms structure