Cerrato, Mario; Kim, Hyunsok; MacDonald, Ronald - In: Review of Quantitative Finance and Accounting 40 (2013) 4, pp. 741-745
This paper investigates the (break) stationarity null hypothesis using data for 25 interest rates with different maturities and risk characteristics in Canada and the US. In contrast to a large part of the literature, this paper reports strong empirical evidence in favour of the null hypothesis...