Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
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Publication:3574714
DOI10.2202/1558-3708.1468zbMath1193.91177OpenAlexW2149015335MaRDI QIDQ3574714
Travis D. Nesmith, Barry E. Jones
Publication date: 2 July 2010
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.federalreserve.gov/pubs/feds/2007/200703/200703pap.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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