search query: @author Koutmos, G. / total: 8
reference: 2 / 8
| Author: | Koutmos, G. Philippatos, G.C. |
| Title: | Asymmetric mean reversion in European interest rates: A two-factor model |
| Journal: | European Journal of Finance
2007 : OCT/DEC, VOL. 13:7-8, p. 741-750 |
| Index terms: | finance interest rates models Europe |
| Language: | eng |
| Abstract: | Using a combination of the interest rate (hereafter as: i-rts.) models introduced by Longstaff and Schwartz (1992) and Bali (2000), this paper tests for asymmetric mean reversion in European short-term i-rts. Based on weekly rates for France, Germany and the United Kingdom (U.K.), short-term rates are found to follow in all instances asymmetric mean reverting processes. Especially, i-rts. exhibit non-stationary behaviour following rate increases, but they are strongly mean reverting following rate decreases etc. |
SCIMA