Nonlinear interest rate dynamics and implications for the term structure

Journal of Econometrics

Volumn 74, Issue 1, 1996, Pages 149-176

  Pfann, Gerard A ^a   Schotman, Peter C ^a   Tschernig, Rolf ^b  

^a MAASTRICHT UNIVERSITY   (Netherlands)

^b HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Nonlinear dynamics; SETAR models; Term structure of interest rates

Indexed keywords

EID: 0001329130     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01754-2     Document Type: Article

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