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Empirical tests of short-term interest rate models : a nonparametric approach

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MLE is alive and well in the financial markets

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Stock market, interest rate and output : a model and estimation for US time series data

Chiarella, Carl; Mittnik, Stefan; Semmler, Willi; Zhu, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 1

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Essays in quantitative monetary economics

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Threshold dynamics of short-term interest rates : empirical evidence and implications for the term structure

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Threshold dynamics of short-term interest rates : empirical evidence and implications for the term structure

Archontakis, Theofanis (contributor); … - 2007

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...

Persistent link: https://www.econbiz.de/10003417530

Stock market, interest rate and output : a model and estimation for US time series data

Chiarella, Carl; Semmler, Willi; Mittnik, Stefan - 1998

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Dynamic equilibrium economies : a framework for comparing models and data

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