Nonlinear mean reversion in the term structure of interest rates

DOI10.1016/S0165-1889(02)00124-0zbMath1179.91263MaRDI QIDQ951428

Byeongseon Seo

Publication date: 24 October 2008

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

zbMATH Keywords

transaction coststhreshold cointegrationexpectations hypothesis

Mathematics Subject Classification ID

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

Related Items (4)

Buffered vector error-correction models: an application to the U.S. Treasury bond rates ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Portfolio selection with transactions costs
• Testing for two-regime threshold cointegration in vector error-correction models.
• A Theory of the Term Structure of Interest Rates
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Threshold Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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