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- W2288778618 abstract "Recent empirical researches have examined the relationship between US short-term interest rates using linear as well nonlinear econometric tools. The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey-Glass and the BEKK GARCH processes (recently proposed by Kyrtsou and Labys, 2006, 2007), in the aim to determine the importance of observed non-linear dependences in the evolution of dynamic correlations between historical data for US effective Federal fund rates and 3-month T-Bill rates." @default.
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- W2288778618 date "2007-06-24" @default.
- W2288778618 modified "2023-09-26" @default.
- W2288778618 title "Nonlinear Short-Term Interest Rate Dynamics" @default.
- W2288778618 hasPublicationYear "2007" @default.
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