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Citations for "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market"

by Anderson, Heather M

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Cited by (explanations, 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.):
  1. Daiki Maki, 2005. "The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework," Economics Bulletin, Economics Bulletin, vol. 3(6), pages 1-7. [Downloadable!]
  2. Dick van Dijk & Timo Teräsvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models - A Survey Of Recent Developments," Econometric Reviews, Taylor and Francis Journals, vol. 21(1), pages 1-47. [Downloadable!] (restricted)
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  3. Jawadi Fredj & Koubaa Yousra, 2004. "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics 0412001, EconWPA. [Downloadable!]
  4. Nick Taylor & Dick van Dijk & Philip Hans Franses & André Lucas, 1999. "SETS, Arbitrage Activity, and Stock Price Dynamics," Tinbergen Institute Discussion Papers 99-003/4, Tinbergen Institute. [Downloadable!]
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  5. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics. [Downloadable!]
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  6. Anderson, H.M. & Vahid, F., 2001. "Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices," Monash Econometrics and Business Statistics Working Papers 3/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  7. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society. [Downloadable!]
  8. Ana María Iregui & Costas Milas & Jesus Otero, 2002. "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Economics and Finance Discussion Papers 02-29, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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  9. Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," BORRADORES DE INVESTIGACIÓN 002737, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
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  10. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus. [Downloadable!]
  11. Boriss Siliverstovs, . "The Bi-parameter Smooth Transition AutoRegressive model," Economics Working Papers 2000-16, School of Economics and Management, University of Aarhus. [Downloadable!]
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  12. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics. [Downloadable!]
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  13. Dijk, Dick van & Franses, Philip Hans, 1997. "Nonlinear error-correction models for interest rates in the Netherlands," Econometric Institute Report 41, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  14. G. Pfann & P. Schotman & R. Tschernig, . "Nonlinear Interest Rate Dynamics and Implications for the Term Structure," Sonderforschungsbereich 373 1994-43, Humboldt Universitaet Berlin.
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  15. Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  16. 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!]
  17. Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis. [Downloadable!]
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  18. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  19. George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007. "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 63-87. [Downloadable!]
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  20. Nicolas Million, 2006. "Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain," Cahiers de la Maison des Sciences Economiques v06067, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
  21. George Kapetanios & Yongcheol Shin, 2004. "Unit Root Tests in Three-Regime SETAR Models," ESE Discussion Papers 104, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
  22. Ying Liu, 2001. "Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model," Working Papers 01-23, Bank of Canada. [Downloadable!]
  23. Ian Garrett & Nicholas Taylor, 2001. "Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(2), pages 1076-1076. [Downloadable!] (restricted)
  24. David Peel & Ivan Paya, 2006. "On the relationship between Nominal Exchange Rates and domestic and foreign prices," Working Papers 004215, Lancaster University Management School, Economics Department. [Downloadable!]
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  25. Ivan Paya & A Duarte & José Luis Nicolini-Llosa, 2007. "Estimating Argentina''s imports elasticities," Working Papers 004670, Lancaster University Management School, Economics Department. [Downloadable!]
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This page was last updated on 2008-11-27.

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