1. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "A Model of Target Changes and the Term Structure of Interest Rates," NBER Working Papers 4347, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July. [Downloadable!] (restricted)
2. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1190-1219, December. [Downloadable!] (restricted)
3. Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Campbell, John Y & Shiller, Robert J, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 495-514, May. [Downloadable!] (restricted)
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   • John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," NBER Working Papers 3153, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423. [Downloadable!] (restricted)
6. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July. [Downloadable!] (restricted)
7. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-80, October.
   Other versions:
   • Robert F. Engle & Sharon Kozicki, 1990. "Testing for Common Featurs," University of California at San Diego, Economics Working Paper Series 90-23, Department of Economics, UC San Diego.
   • Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
8. Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October. [Downloadable!] (restricted)
9. C. W.J. Granger, 1993. "Modelling Non-Linear Relationships Between Long-Memory Variables," University of California at San Diego, Economics Working Paper Series 93-48, Department of Economics, UC San Diego.
10. Leroy, S.F., 1989. "Efficient Capital Markets And Martingales," University of California Santa Barbara - Department of Economics 13-89, California Santa Barbara - Department of Economics.
11. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
12. Campbell, John Y & Shiller, Robert J, 1984. "A Simple Account of the Behavior of Long-Term Interest Rates," American Economic Review, American Economic Association, vol. 74(2), pages 44-48, May. [Downloadable!] (restricted)
    Other versions:
    • John Y. Campbell & Robert J. Shiller, 1983. "A Simple Account of the Behavior of Long-Term Interest Rates," NBER Working Papers 1203, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March. [Downloadable!] (restricted)
14. Broze, L. & Scaillet, O. & Zakoian, J.M., 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," Papers 9331, Catholique de Louvain - Center for Operations Research and Economics.
    Other versions:
    • Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September. [Downloadable!] (restricted)
15. repec:cup:etheor:v:10:y:1994:i:3-4:p:609-32 is not listed on IDEAS
16. Pole, A. M. & Smith, A. F. M., 1985. "A bayesian analysis of some threshold switching models," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 97-119. [Downloadable!] (restricted)
17. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    Other versions:
    • Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
18. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February. [Downloadable!] (restricted)
19. John Y. Campbell & Robert J. Shiller, 1988. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation, Yale University. [Downloadable!]
    • Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October. [Downloadable!] (restricted)
20. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March. [Downloadable!] (restricted)
21. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December. [Downloadable!] (restricted)
22. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
23. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
24. Shea, Gary S, 1991. "Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure," Empirical Economics, Springer, vol. 16(3), pages 287-312.
25. Backus, David K & Zin, Stanley E, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 681-700, August. [Downloadable!] (restricted)
    Other versions:
    • David K. Backus & Stanley E. Zin, 1993. "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers 0133, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • David K. Backus, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Working Papers 93-04, New York University, Leonard N. Stern School of Business, Department of Economics.
    • David K. Backus & Stanley E. Zin, 1993. "Long-memory inflation uncertainty: evidence from the term structure of interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.
26. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.

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1. 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. [Downloadable!]
2. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
3. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 385-426. [Downloadable!] (restricted)
4. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics. [Downloadable!]
5. Dominique Guegan, 2008. "Contagion between the financial sphere and the real economy . Parametric and non-parametric tools : A comparison," Post-Print halshs-00185373_v1, HAL. [Downloadable!]
6. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
7. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
8. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany. [Downloadable!]
9. John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996. "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics 320., Boston College Department of Economics. [Downloadable!]
10. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
11. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO. [Downloadable!]
12. K. Hubrich, . "System estimation of the German money demand - a long-run analysis," Sonderforschungsbereich 373 1996-77, Humboldt Universitaet Berlin.
13. Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print halshs-00201309_v1, HAL. [Downloadable!]
14. Greg Tkacz, 2001. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(1), pages 1068-1068. [Downloadable!] (restricted)
    Other versions:
    • Tkacz, Greg, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Working Papers 00-5, Bank of Canada. [Downloadable!]
15. Luis A. Gil-Alana, 2003. "Strong dependence in the real interest rates," Applied Economics, Taylor and Francis Journals, vol. 35(2), pages 119-124, January. [Downloadable!] (restricted)
16. Terence D.Agbeyegbe & Elena Goldman, 2005. "Estimation of threshold time series models using efficient jump MCMC," Hunter College Department of Economics Working Papers 406, Hunter College: Department of Economics, revised 2005. [Downloadable!]
17. 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. [Downloadable!]
    Other versions:
    • Teresa Corzo Santamaría & Javier Gómez Biscarri, 2005. "Nonparametric estimation of convergence of interest rates: Effects on bond pricing," Spanish Economic Review, Springer, vol. 7(3), pages 167-190, 09. [Downloadable!] (restricted)
18. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-82, April.