Testing Linearity in Term Structures
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- Chiara Peroni, 2012. "Testing linearity in term structures," Applied Financial Economics, Taylor & Francis Journals, vol. 22(8), pages 651-666, April.
- Chiara PERONI, 2010. "Testing Linearity in Term Structures," EcoMod2010 259600130, EcoMod.
References listed on IDEAS
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Cited by:
- Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
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More about this item
Keywords
interest rates; term structure; affine models; non-linearity; non-parametric regression.;All these keywords.
JEL classification:
- 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
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2009-08-02 (Macroeconomics)
- NEP-MON-2009-08-02 (Monetary Economics)
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