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Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Applied economics letters 29 (2022) 4, pp. 366-370

Persistent link: https://www.econbiz.de/10012803550

Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10012383724

Impact of changes in the level, slope and curvature of interest rates on U.S. sector returns : an asymmetric nonlinear cointegration approach

Jareño, Francisco; Tolentino, Marta; González Pérez, … - In: Economic research 32 (2019) 1,2, pp. 1275-1297

Persistent link: https://www.econbiz.de/10012390407

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …