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Nonlinear interest rate dynamics and implications for the term structure Author info | Abstract | Publisher info | Download info | Related research | Statistics Pfann, Gerard A.
Schotman, Peter C.
Tschernig, Rolf
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Article provided by Elsevier in its journal Journal of Econometrics .
Volume (Year): 74 (1996)
Issue (Month): 1 (September)
Pages: 149-176
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Handle: RePEc:eee:econom:v:74:y:1996:i:1:p:149-176Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993.
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Anderson, Heather M, 1997.
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Shea, Gary S, 1991.
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Backus, David K & Zin, Stanley E, 1993.
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David K. Backus & Stanley E. Zin, 1993.
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Yann Schorderet, 2002.
"A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration ,"
Cahiers du Département d'Econométrie
2002.03, Département d'Econométrie, Université de Genève.
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Barry E. Jones & Travis D. Nesmith, 2006.
"Linear cointegration of nonlinear time series with an application to interest rate dynamics ,"
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2007-03, Board of Governors of the Federal Reserve System (U.S.).
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Yacine Ait-Sahalia, 1995.
"Testing Continuous-Time Models of the Spot Interest Rate ,"
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5346, National Bureau of Economic Research, Inc.
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Other versions: Esben Hoeg & Per Frederiksen, 2006.
"The Fractional OU Process: Term Structure Theory and Application ,"
Computing in Economics and Finance 2006
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Dominique Guegan, 2008.
"Contagion between the financial sphere and the real economy . Parametric and non-parametric tools : A comparison ,"
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halshs-00185373_v1, HAL.
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Høg, Espen P. & Frederiksen, Per H., 2006.
"The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application ,"
Finance Research Group Working Papers
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Markus Leippold & Liuren Wu, 2002.
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Finance
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Ferrara, Laurent & Guégan, Dominique, 2005.
"Detection of the industrial business cycle using SETAR models ,"
MPRA Paper
4389, University Library of Munich, Germany.
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John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996.
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Boston College Working Papers in Economics
320., Boston College Department of Economics.
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Dominique Guegan, 2005.
"How can we define the concept of long memory ? An econometric survey ,"
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Jin-Chuan Duan & Kris Jacobs, 2001.
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K. Hubrich, .
"System estimation of the German money demand - a long-run analysis ,"
Sonderforschungsbereich 373
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Dominique Guegan & Laurent Ferrara, 2005.
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Greg Tkacz, 2001.
"Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator ,"
Studies in Nonlinear Dynamics & Econometrics ,
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Other versions: Luis A. Gil-Alana, 2003.
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Applied Economics ,
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Terence D.Agbeyegbe & Elena Goldman, 2005.
"Estimation of threshold time series models using efficient jump MCMC ,"
Hunter College Department of Economics Working Papers
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Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004.
"Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing ,"
Faculty Working Papers
03/04, School of Economics and Business Administration, University of Navarra.
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