A Nonparametric Dimension Test of the Term Structure

DOI10.2202/1558-3708.1117zbMATH Open1081.91529OpenAlexW2145234497MaRDI QIDQ3368356FDOQ3368356

Javier Gil-Bazo, G. Rubio

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://addi.ehu.es/handle/10810/6754

zbMATH Keywords

long memory processesTerm structure of interest ratesdimension reduction testnonparametric estimation and testingshort term interest rate dynamics

Mathematics Subject Classification ID

Cited In (2)

• Testing affine term structure models in case of transaction costs
• Testing Distributions of Stochastically Generated Yield Curves

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