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Unit root testing under a local break in trend

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 167 (2012) 1, pp. 140-167

Persistent link: https://www.econbiz.de/10009551428

Asymmetric adjustments in the spread of lending and deposit rates : evidence from extended threshold unit root tests

Lee, Junsoo; Strazicich, Mark; Yu, Byungchul - In: Review of financial economics : RFE 22 (2013) 4, pp. 187-193

Persistent link: https://www.econbiz.de/10010442728

Effects of interest rate changes on the stock market in Taiwan

Huang, Ai-Chen; Chang, Hsiao-Fen - In: The empirical economics letters : a monthly … 14 (2015) 6, pp. 623-630

Persistent link: https://www.econbiz.de/10011419182

Reconciling interest rates evidence with theory : rejecting unit roots when the HD(1) is a competing alternative

Palandri, Alessandro - In: Journal of banking and finance 161 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015065796

The expectations hypothesis of the term structure of interest rates: evidence from the Fourier cointegration test

Güriş, Burak - In: Selected topics in applied econometrics, (pp. 139-147). 2019

Persistent link: https://www.econbiz.de/10012286977

Revisiting the term of interest rates: evidence from USA

Kuo, Pao-Lan; Chiu, Chien-Liang; Chang, Tsangyao; Wang, … - In: The empirical economics letters : a monthly … 18 (2019) 11, pp. 1141-1150

Persistent link: https://www.econbiz.de/10012372785

Money velocity and the natural rate of interest

Benati, Luca - In: Journal of monetary economics 116 (2020), pp. 117-134

Persistent link: https://www.econbiz.de/10012495164

Spillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticity

Souza, Francisca Mendonça; Ramser, Claudia Aline de Souza - In: Annals of financial economics 18 (2023) 2, pp. 1-51

Persistent link: https://www.econbiz.de/10014442610

Chapter 14 Forecasting Interest Rates: An Application of the Stochastic Unit Root and Stochastic Cointegration Frameworks

Sollis, Robert - In: Forecasting in the presence of structural breaks and …, (pp. 535-559). 2008

This paper investigates forecasting US Treasury bond and Dollar Eurocurrency rates using the stochastic unit root (STUR) model of Leybourne et al. (1996), and the stochastic cointegration (SC) model of Harris et al. (2002, 2006). Both models have time-varying parameter representations and are...

Persistent link: https://www.econbiz.de/10015382990

The stationarity of Australian real interest rates with and without structural breaks

Felmingham, Bruce S.; Leong, Su San - In: Applied economics letters 10 (2003) 4, pp. 239-241

Persistent link: https://www.econbiz.de/10001749004