Koutmos, Gregory; Philippatos, George - In: The European Journal of Finance 13 (2007) 8, pp. 741-750
This paper tests for asymmetric mean reversion in European short-term interest rates using a combination of the interest rate models introduced by Longstaff and Schwartz (Longstaff, F.A., Schwarts, E.S. (1992) Interest rate volatility and the ferm structure: A two factor general equilibrium...