ARMAX models: estimation and testing

BOOK CHAPTER published 7 July 1994 in Topics in Advanced Econometrics

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*

JOURNAL ARTICLE published April 2012 in Oxford Bulletin of Economics and Statistics

Authors: Jaya Krishnakumar | David Neto

Exchange Rates and Real Long-Term Interest-Rate Differentials

REPORT published 1 February 1986 in OECD Economics Department Working Papers

The term premium, time varying interest rate volatility and central bank policy reaction

JOURNAL ARTICLE published August 2002 in Economics Letters

Authors: Peter Kugler

Predicting recessions with interest rate spreads: a multicountry regime-switching analysis

JOURNAL ARTICLE published August 2002 in Journal of International Money and Finance

Authors: R. Ahrens

SIMULATION APPROACH TO TESTING REGIME-SWITCHING MODELS FOR SLOVAK ALPINE RIVER FLOWS

PROCEEDINGS ARTICLE published June 2010 in Computational Intelligence in Business and Economics

Authors: MAGDA KOMORNÍKOVÁ | DANUŠA SZÖKEOVÁ | JOZEF KOMORNÍK

Short‐term interest rate models: valuing interest rate derivatives using a Monte‐Carlo approach

JOURNAL ARTICLE published July 2003 in Accounting & Finance

Authors: Sirimon Treepongkaruna | Stephen Gray

An Empirical Comparison of the Short Term Interest Rate Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Mona Ben Salah | Fathi Abid

Estimating Parameters of Short-Term Real Interest Rate Models

JOURNAL ARTICLE published 2013 in IMF Working Papers

Authors: Vadim Khramov | VKhramov@imf.org

Impact of Short-term Interest Rate on Exchange Rate: The Case of Turkey

JOURNAL ARTICLE published 2016 in Procedia Economics and Finance

Authors: Taha Bahadır Saraç | Kadir Karagöz

Estimation of Markov Regime-Switching Regression Models with Endogenous Switching

REPORT published 2003

Authors: Chang-Jin Kim | Jeremy M. Piger | Richard Startz

Cointegration between US short-term and long-term interest rates (both nominal and real)

JOURNAL ARTICLE published October 1995 in Applied Financial Economics

Authors: Muhammad Mustafa | Matiur Rahman

Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Haitao Li | Yongmiao Hong

Testing interest rate models for China's repo market

DISSERTATION published

Authors: Huimin Zhao

Budget deficits, short-term real interest rates and the specification of expected inflation: an empirical investigation

JOURNAL ARTICLE published July 1991 in Applied Economics

Authors: D. W. Findlay

Indirect Robust Estimation of the Short-term Interest Rate Process

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Veronika Czellar | George Andrew Karolyi | Elvezio Ronchetti

Jump Specifications for Affine Term-Structure Models

BOOK CHAPTER published in Pricing Interest-Rate Derivatives

Quasi-maximum likelihood estimates of Kiwi short-term interest rate

JOURNAL ARTICLE published 15 December 2003 in Applied Economics Letters

Authors: Sirimon Treepongkaruna

Estimating the US trend short-term interest rate

JOURNAL ARTICLE published July 2023 in Finance Research Letters

Authors: Meredith Beechey | Pär Österholm | Aubrey Poon

Comparing Estimation Procedures for Stochastic Volatility Models of Short-Term Interest Rates

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Ramaprasad Bhar | Damien Lee