Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure
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- Archontakis, Theofanis & Lemke, Wolfgang, 2007. "Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure," Discussion Paper Series 1: Economic Studies 2007,02, Deutsche Bundesbank.
References listed on IDEAS
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007.
"Learning, Structural Instability, and Present Value Calculations,"
Taylor & Francis Journals, vol. 26(2-4), pages 253-288.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2005. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series 1650, CESifo Group Munich.
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR).
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics.
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
- Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2006. "Learning, structural instability and present value calculations," Discussion Paper Series 1: Economic Studies 2006,27, Deutsche Bundesbank.
- Lanne, Markku & Saikkonen, Pentti, 2002.
"Threshold Autoregressions for Strongly Autocorrelated Time Series,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(2), pages 282-289, April.
- Lanne, M. & Saikkonen, P., 2000. "Threshold Autoregression for Strongly Autocorrelated Time Series," University of Helsinki, Department of Economics 489, Department of Economics.
More about this item
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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