REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST

DOI10.1111/BOER.12177zbMath1429.91331OpenAlexW2901091463MaRDI QIDQ5213465

Zahra Elmi (Mila), Mohsen Bahmani-Oskooee, Omid Ranjbar, Tsangyao Chang

Publication date: 3 February 2020

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/boer.12177

zbMATH Keywords

Fourier expansionquantile regressionreal interest rate paritybreaksasymmetric dynamicssharp breaks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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