Testing for threshold nonlinearity in short-term interest rates

Journal of Financial Econometrics

Volumn 3, Issue 3, 2005, Pages 344-371

  Gospodinov, Nikolay ^a  

^a Gina Cody School of Engineering and Computer Science   (Canada)

Author keywords

Bootstrap; GARCH; Persistence; Threshold nonlinearity

Indexed keywords

EID: 27244447039     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi016     Document Type: Article

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