Nonlinear mean reversion in the term structure of interest rates
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Publication:951428
Recommendations
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Cites work
- A theory of the term structure of interest rates
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Portfolio selection with transactions costs
- 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
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
- Nonlinear interest rate dynamics and implications for the terms structure
- The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
- 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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