Testing uncovered interest rate parity and term structure using three-regime threshold unit root VECM: an application to the Swiss “Isle” of interest rates

Krishnakumar, Jaya; Neto, David

doi:10.1111/j.1468-0084.2011.00644.x

Scientific article

English

Testing uncovered interest rate parity and term structure using three-regime threshold unit root VECM: an application to the Swiss “Isle” of interest rates

ContributorsKrishnakumar, Jaya; Neto, David

Published inOxford bulletin of economics and statistics, vol. 74, no. 2, p. 180-202

Publication date2012

Affiliation entities

Faculté d'économie et de management / Institute of Economics and Econometrics

Citation (ISO format)

KRISHNAKUMAR, Jaya, NETO, David. Testing uncovered interest rate parity and term structure using three-regime threshold unit root VECM: an application to the Swiss “Isle” of interest rates. In: Oxford bulletin of economics and statistics, 2012, vol. 74, n° 2, p. 180–202. doi: 10.1111/j.1468-0084.2011.00644.x

Article (Published version)

Identifiers

PID : unige:41669
DOI : 10.1111/j.1468-0084.2011.00644.x

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Testing uncovered interest rate parity and term structure using three-regime threshold unit root VECM: an application to the Swiss “Isle” of interest rates

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