Nonlinear interest rate dynamics and implications for the terms structure
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Publication:1126499
DOI10.1016/0304-4076(95)01754-2zbMATH Open0865.62087OpenAlexW2077727672MaRDI QIDQ1126499FDOQ1126499
Authors: 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
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Cited In (25)
- On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach
- Forecasting with non-homogeneous hidden Markov models
- Interest rate dynamics and consistent forward rate curves
- A competing risks analysis of the duration of federal target funds rates
- Linear cointegration of nonlinear time series with an application to interest rate dynamics
- Testing for long-range dependence in the Brazilian term structure of interest rates
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
- The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
- A bivariate threshold time series model for analyzing Australian interest rates
- Nonlinear mean reversion in the term structure of interest rates
- Quantile Regression on Quantile Ranges - A Threshold Approach
- Flexible Threshold Models for Modelling Interest Rate Volatility
- Hysteresis effects under CIR interest rates
- How can we Define the Concept of Long Memory? An Econometric Survey
- Threshold nonlinear interest rates
- Short rate nonlinearities and regime switches.
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
- Forecasting with non-homogeneous hidden Markov models
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- Chapter 11 Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany
- Interest rate prediction: a neuro-hybrid approach with data preprocessing
- EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT
- Bond pricing when the short-term interest rate follows a threshold process
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