Are there nonlinearities in short-term interest rates?

Accounting and Finance

Volumn 46, Issue 1, 2006, Pages 149-167

  Treepongkaruna, Sirimon ^a   Gray, Stephen ^b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Conditional volatility; Mean reversion; Short term interest rates

Indexed keywords

EID: 33644928052     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2006.00151.x     Document Type: Article

References (19)

1. Aït-Sahalia, Y., 1996, Testing continuous-time models of the spot interest rate, Review of Financial Studies 9, 35-426.
2. Ang, A., and G. Bekaert, 2002, Short rate nonlinearities and regime switches, Journal of Economic Dynamics and Control 26, 1243-1274.
3. Barkoulas, J. T., C. F. Baum, and J. Onochie, 1997, Nonparametric investigation of the 90-day T-bill rate, Review of Financial Economics 6, 187-192.
4. Black, F., and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-654.
5. Brailsford, T. J., and K. Maheswaran, 1998, The dynamics of the Australian short-term interest rate, Australian Journal of Management 23, 213-234.
6. Brennan, M. J., and E. S. Schwartz, 1980, Analyzing convertible bonds, Journal of Financial and Quantitative Analysis 15, 907-929.
7. Byers, S. L., and K. B. Nowman, 1998, Forecasting U.K. and U.S. interest rates using continuous time term structure models, International Review of Financial Analysis 7, 191-206.
8. Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sanders, 1992, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance 47, 1209-1227.
9. Cox, J. C., 1975, Notes on option pricing I: constant elasticity of variance diffusions, Working paper (Stanford University, USA).
10. Cox, J. C., E. Ingersoll, and S. A. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407.
11. Dahlquist, M., 1996, On alternative interest rate process, Journal of Banking and Finance 20, 1093-1119.
12. Dothan, U. L., 1978, On the term structure of interest rates, Journal of Financial Economics 7, 59-69.
13. French, K., and R. Roll, 1986, Stock return variances: the arrival of information and the reaction of traders, Journal of Financial Economics 17, 5-26.
14. Gray, S. F., 1996, Modelling the conditional distribution of interest rates as a regime-switching process, Journal of Financial Economics 42, 27-62.
15. Hamilton, J. D., 1988, Rational expectations econometric analysis of changes in regime: an investigation of the term structure of interest rates, Journal of Economic Dynamics and Control 12, 385-423.
16. Merton, R. C., 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science 4, 141-183.
17. Nowman, K. B., and G. Sorwar, 1999, Pricing UK and US securities within the CKLS model further results, International Review of Financial Analysis 8, 235-245.
18. Treepongkaruna, S., and S. F. Gray, 2003, On the robustness of short-term interest rate models, Accounting and Finance 43, 87-121.
19. Vasicek, O., 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.