Nonlinear interest rate dynamics and implications for the terms structure
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Publication:1126499
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Cited in
(26)- Interest rate prediction: a neuro-hybrid approach with data preprocessing
- Threshold nonlinear interest rates
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
- A bivariate threshold time series model for analyzing Australian interest rates
- On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach
- Quantile regression on quantile ranges -- a threshold approach
- Interest rate dynamics and consistent forward rate curves
- Linear cointegration of nonlinear time series with an application to interest rate dynamics
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- Chapter 11 Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany
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- Hysteresis effects under CIR interest rates
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- A competing risks analysis of the duration of federal target funds rates
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- The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
- A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
- Forecasting with non-homogeneous hidden Markov models
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
- Bond pricing when the short-term interest rate follows a threshold process
- How can we Define the Concept of Long Memory? An Econometric Survey
- Forecasting with non-homogeneous hidden Markov models
- Nonlinear mean reversion in the term structure of interest rates
- Testing for long-range dependence in the Brazilian term structure of interest rates
- Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
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