Non-linearities and persistence in US long-run interest rates-Reference-Cited by-同舟云学术

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Non-linearities and persistence in US long-run interest rates

Published:2021-03-09 Issue:4 Volume:29 Page:366-370
ISSN:1350-4851
Container-title:Applied Economics Letters
language:en
Short-container-title:Applied Economics Letters

Author:

Caporale Guglielmo Maria¹^ORCID,Gil-Alana Luis Alberiko²³^ORCID,Martin-Valmayor Miguel Ángel³⁴^ORCID

Affiliation:

1. Department of Economics and Finance, Brunel University London, Middlesex, UK

2. Departamento de Métodos Cuantitativos de la Facultad de Ciencias Económicas y Empresariales, University of Navarra, Pamplona, Spain

3. Universidad Francisco de Vitoria, Madrid, Spain

4. Universidad Complutense de Madrid, Madrid, Spain

Funder

Ministerio de Economía y Competitividad

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/13504851.2021.1897511

Reference28 articles.

1. Term Structure Persistence

2. Computation and analysis of multiple structural change models

3. FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES

4. Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate

5. An exponential model for the spectrum of a scalar time series

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Euribor rate: a forecasting exercise based on fractional integration;Applied Economics Letters;2023-09-15

2. The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields;The Quarterly Review of Economics and Finance;2022-11

3. The behaviour of real interest rates: New evidence from a 'suprasecular' perspective;International Finance;2022-01-18

4. The Effects of Federal Reserve's Quantitative Easing and Balance Sheet Normalization Policies on Long-Term Interest Rates;SSRN Electronic Journal;2022

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