Nonlinear interest rate dynamics and implications for the terms structure
type: Item
instance of: scholarly article
title: Nonlinear interest rate dynamics and implications for the terms structure
zbMATH Open document ID: 0865.62087
DOI: 10.1016/0304-4076(95)01754-2
author: Gerard A. Pfann
author: Rolf Tschernig
author: Peter C. Schotman
published in: Journal of Econometrics
publication date: 1996-12-08T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 955411
zbMATH Keywords: SETAR models
zbMATH Keywords: nonlinear dynamics
zbMATH Keywords: short-term interest rate
zbMATH Keywords: United States
zbMATH Keywords: autoregressive threshold model
zbMATH Keywords: conditional heteroskedasticity
zbMATH Keywords: term structure of interest rates
MaRDI profile type: Publication
full work available at URL: 0304-4076(95)01754-2
OpenAlex ID: W2077727672
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description: scientific article; zbMATH DE number 955411