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Robust GMM estimators and tests for models of the term structure of interest rates

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Robust GMM analysis of models for the short rate process

Dell'Aquila, Rosario; Ronchetti, Elvezio; Trojani, Fabio - In: Journal of empirical finance 10 (2003) 3, pp. 373-397

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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

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Partial cointegration

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Estimation and testing for the cointegration rank in a threshold cointegrated system

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

Krishnakumar, Jayalakshmi; Neto, David - 2009

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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

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Testing unit root in threshold cointegration

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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