Buffered vector error-correction models: An application to the U.S. Treasury bond rates

Keyphrases

• Vector Error Correction Model 100%
• Bond Interest Rates 100%
• US Treasury Bonds 100%
• United States 50%
• Copyright 50%
• Berlin 50%
• Simulation Study 50%
• Bootstrap Method 50%
• Threshold Parameter 50%
• Test Statistic 50%
• Boston 50%
• Threshold Effect 50%
• Autoregressive Model 50%
• Gaussian Process 50%
• Least Squares Estimation 50%
• Reduced Rank 50%
• Delay Parameter 50%
• Consistent Estimator 50%
• Correction Effect 50%
• Delay Threshold 50%
• Buffer Type 50%
• Asymmetric Error Correction 50%

Mathematics

• Error Correction 100%
• Vector Error 100%
• Simulation Study 33%
• Bootstrap Method 33%
• Test Statistic 33%
• Asymmetric 33%
• Autoregressive Model 33%
• Least Square Estimation 33%
• Gaussian Process 33%
• Rank Estimation 33%