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Testing uncovered interest rate parity and term structure using multivariate threshold cointegration

Krishnakumar, Jayalakshmi; Neto, David - In: Computational methods in financial engineering : essays …, (pp. 191-210). 2008

Persistent link: https://www.econbiz.de/10003669639

Testing uncovered interest rate parity and term structure using three-regime threshold unit root VECM

Krishnakumar, Jayalakshmi; Neto, David - 2009

Persistent link: https://www.econbiz.de/10003926957

Testing uncovered interest rate parity and term structure using a three-regime threshold unit root VECM : an application to the Swiss "Isle" of interest rates

Krishnakumar, Jayalakshmi; Neto, David - In: Oxford bulletin of economics and statistics 74 (2012) 2, pp. 180-202

Persistent link: https://www.econbiz.de/10009526760

Testing Uncovered Interest Rate Parity and Term Structure Using a Three-Regime Threshold Unit Root VECM : An Application to the Swiss 'Isle' of Interest Rates

Krishnakumar, Jaya - 2014

In this article, a three-regime multivariate threshold vector error correction model with a ‘band of inaction' is formulated to examine uncovered interest rate parity (UIRP) and expectation hypothesis of the term structure (EHTS) of interest rates for Switzerland. Combining both UIRP and EHTS...

Persistent link: https://www.econbiz.de/10013043901

Revisiting the Fisher parity consistency for the Swiss economy around the modification of the National Bank's monetary policy strategy

Neto, David - In: International economics : a journal published by CEPII … 144 (2015), pp. 83-94

Persistent link: https://www.econbiz.de/10011525395