To what degree are term structure models fitted to time series data likely to be stable? Where are the sources of instability? How well might highly parameterized models, such as GARCH models, be able to capture this behavior? These are questions that have occupied many researchers which we...

This paper develops and tests a nonlinear general equilibrium model of the term structure of interest rates based on the framework of Cox, Ingersoll and Ross (CIR, 1985). The contributions of this paper to the literature are both theoretical and empirical. The theoretical advantages of the...

Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics in the traded goods prices for the G7 countries, as measured in their import and export price indices. Significant and robust evidence of fractional dynamics with long memory features is found in...