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Asymmetric adjustments in the spread of lending and deposit rates : evidence from extended threshold unit root tests
Lee, Junsoo; Strazicich, Mark; Yu, Byungchul - In: Review of financial economics : RFE 22 (2013) 4, pp. 187-193
Persistent link: https://www.econbiz.de/10010442728
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Reconciling interest rates evidence with theory : rejecting unit roots when the HD(1) is a competing alternative
Palandri, Alessandro - In: Journal of banking and finance 161 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015065796
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The Libor rate : what does it look like during turmoil times?
Fouquau, Julien; Spieser, Philippe - In: Journal of quantitative economics : official journal of … 12 (2014) 2, pp. 110-120
Persistent link: https://www.econbiz.de/10011504458
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Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien
Paladino, Giovanna; Salsecci, Gianluca - In: Economie & prévision : EP (1999) 4/5, pp. 45-62
Persistent link: https://www.econbiz.de/10001490913
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Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
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Empirical evidence on interest rate dynamics : evidence from USD, DM, GBP and JPY interest rates
Lekkos, Ilias - 1998
Persistent link: https://www.econbiz.de/10001403918
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Stationarity and the term structure of interest rates : a characterisation of stationary and unit root yield curves
Bowsher, Clive G. (contributor); Meeks, Roland (contributor) - 2008
Persistent link: https://www.econbiz.de/10003813238
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Near unit roots, cointegration, and the term structure of interest rates
Lanne, Markku - In: Journal of applied econometrics 15 (2000) 5, pp. 513-529
Persistent link: https://www.econbiz.de/10001533584
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Priors and Bayesian parameter estimation of affine term structure models
Sögner, Leopold - In: International journal of computational economics and … 4 (2014) 3/4, pp. 288-319
Persistent link: https://www.econbiz.de/10010496421
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Modeling persistent interest rates with volatility-induced stationarity
Hansen, Anne Lundgaard - 2019
It is well-known that interest rates are extremely persistent, yet they are best modeled and understood as stationary processes. These properties are contradictory in the workhorse Gaussian affine term structure model in which persistent data often result in unit roots that imply...
Persistent link: https://www.econbiz.de/10012111254