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 costs; threshold cointegration; expectations hypothesis

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

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

Cites Work

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