Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization

DOI10.1080/1350486X.2012.666120zbMath1457.91395MaRDI QIDQ3176523

Roland Meeks, Clive G. Bowsher

Publication date: 20 July 2018

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

zbMATH Keywords

term structure of interest ratesintegrationvector autoregressionexpectations hypothesislong ratestationarity and nonstationarity

Mathematics Subject Classification ID

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

Uses Software

• Ox

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Forecasting the term structure of government bond yields
• Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
• PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• 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
• An equilibrium characterization of the term structure
• The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve
• Stochastic differential equations. An introduction with applications.