Nonlinear interest rate dynamics and implications for the terms structure

DOI10.1016/0304-4076(95)01754-2zbMath0865.62087OpenAlexW2077727672MaRDI QIDQ1126499

Gerard A. Pfann, Rolf Tschernig, Peter C. Schotman

Publication date: 8 December 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01754-2

zbMATH Keywords

term structure of interest ratesnonlinear dynamicsconditional heteroskedasticityUnited StatesSETAR modelsshort-term interest rateautoregressive threshold model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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