Skip navigation
Skip navigation

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

Meeks, Roland; Bowsher, Clive G.


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
Source: Applied Mathematical Finance
DOI: 10.1080/1350486X.2012.666120


File Description SizeFormat Image
01_Meeks_Stationary_and_Nonstationary_2013.pdf275.97 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator