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Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization

Meeks, Roland; Bowsher, Clive G.

Description

We provide simple nonparametric conditions for the order of integration of the term structure of zero-coupon yields. A principal benchmark model studied is one with a limiting yield and limiting term premium, and in which the logarithmic expectations theory (ET) holds. By considering a yield curve with a complete term structure of bond maturities, a linear vector autoregressive process is constructed that provides an arbitrarily accurate representation of the yield curve as its cross-sectional...[Show more]

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
URI: http://hdl.handle.net/1885/77467
Source: Applied Mathematical Finance
DOI: 10.1080/1350486X.2012.666120

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