Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization
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]
|Collections||ANU Research Publications|
|Source:||Applied Mathematical Finance|
|01_Meeks_Stationary_and_Nonstationary_2013.pdf||275.97 kB||Adobe PDF||Request a copy|
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