Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
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- Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
References listed on IDEAS
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007.
"Learning, Structural Instability, and Present Value Calculations,"
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- 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.
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More about this item
KeywordsNon-affine term structure models; SETAR models; Asset pricing;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-10 (All new papers)
- NEP-ETS-2007-03-10 (Econometric Time Series)
- NEP-MAC-2007-03-10 (Macroeconomics)
- NEP-MON-2007-03-10 (Monetary Economics)
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