Nonlinear mean reversion in the term structure of interest rates

DOI10.1016/S0165-1889(02)00124-0zbMATH Open1179.91263MaRDI QIDQ951428FDOQ951428

Authors: Byeongseon Seo 

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

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• TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
• Nonlinear interest rate dynamics and implications for the terms structure
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching
• Threshold nonlinear interest rates
• The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment

zbMATH Keywords

transaction coststhreshold cointegrationexpectations hypothesis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A theory of the term structure of interest rates
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Statistical analysis of cointegration vectors
• Testing for two-regime threshold cointegration in vector error-correction models.
• Threshold Cointegration
• Threshold cointegration and nonlinear adjustment to the law of one price
• Portfolio selection with transactions costs

Cited In (8)

• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
• Cointegration rank switching model: an application to forecasting interest rates
• Likelihood-based inference for cointegration with nonlinear error-correction
• The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
• Nonlinear interest rate dynamics and implications for the terms structure
• Threshold nonlinear interest rates
• Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models
• Buffered vector error-correction models: an application to the U.S. Treasury bond rates

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