Stationary and nonstationary behaviour of the term structure: a nonparametric characterization

DOI10.1080/1350486X.2012.666120zbMATH Open1457.91395MaRDI QIDQ3176523FDOQ3176523

Roland Meeks, Clive Bowsher

Publication date: 20 July 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

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zbMATH Keywords

vector autoregressionintegrationterm structure of interest ratesexpectations hypothesislong ratestationarity and nonstationarity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Forecasting the term structure of government bond yields
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Title not available (Why is that?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
• Stochastic differential equations. An introduction with applications.
• Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
• The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve
• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME
• Present value relations, Granger noncausality, and VAR stability

Cited In (1)

• Non-Markov Gaussian Term Structure Models: The Case of Inflation*

Uses Software

• Ox

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