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A comment on tests for asymmetric threshold cointegration with an application to the term structure : cointegration methods matter
Hegwood, Natalie; Tuttle, Markland H. - In: The journal of economics 39 (2013) 1, pp. 73-77
Persistent link: https://www.econbiz.de/10010127272
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Tests for asymmetric threshold cointegration with an application to the term structure
Wohar, Mark E.; Sollis, Robert - In: The journal of economics 33 (2007) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10003672620
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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