Nonlinear mean reversion in the term structure of interest rates (Q951428)
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scientific article; zbMATH DE number 5356663
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| default for all languages | No label defined |
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| English | Nonlinear mean reversion in the term structure of interest rates |
scientific article; zbMATH DE number 5356663 |
Statements
Nonlinear mean reversion in the term structure of interest rates (English)
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24 October 2008
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expectations hypothesis
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transaction costs
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threshold cointegration
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0.8298274874687195
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0.7878852486610413
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0.7524189352989197
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0.751408576965332
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0.7476200461387634
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