Nonlinear adjustment between the Eonia and Euribor rates : a two-regime threshold cointegration analysis
Go Tamakoshi and Shigeyuki Hamori
| Year of publication: |
2014
|
|---|---|
| Authors: | Tamakoshi, Go ; Hamori, Shigeyuki |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 1/3, p. 139-143
|
| Subject: | threshold cointegration | nonlinear VECM | bootstrap | Eonia rate | Euribor rate | Kointegration | Cointegration | Nichtlineare Regression | Nonlinear regression | Zinsstruktur | Yield curve | Bootstrap-Verfahren | Bootstrap approach | Zins | Interest rate | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010391461