Cerrato, M. , Kim, H. and MacDonald, R. (2013) Nominal interest rates and stationarity. Review of Quantitative Finance and Accounting, 40(4), pp. 741-745. (doi: 10.1007/s11156-012-0296-x)
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Publisher's URL: http://dx.doi.org/10.1007/s11156-012-0296-x
Abstract
This paper investigates the (break) stationarity null hypothesis using data for 25 interest rates with different maturities and risk characteristics in Canada and the US. In contrast to a large part of the literature, this paper reports strong empirical evidence in favour of the null hypothesis of stationarity for the interest rate series.
Item Type: | Articles |
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Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Cerrato, Professor Mario and Kim, Mr Hyunsok and MacDonald, Professor Ronald |
Authors: | Cerrato, M., Kim, H., and MacDonald, R. |
College/School: | College of Social Sciences > Adam Smith Business School > Economics |
Journal Name: | Review of Quantitative Finance and Accounting |
ISSN: | 0924-865X |
ISSN (Online): | 1573-7179 |
Published Online: | 22 June 2012 |
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