The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates

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Regime dependent determinants of credit default swap spreads (2008, background): “Collin-Dufresne et al. (2001) find the same effect for single-name bond spreads and no relationship between the first principal component and economic variables.”
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006, unknown): “…nonlinear fashion (e.g., Bilson, 1981; Flood and Rose, 1994; Flood and Taylor, 1996; Bansal, 1997; Huisman et al., 1998; Bansal and Dahlquist, 2000; Clarida et al., 2003, 2006; Sercu and Vandebroek, 2005), the potential importance of nonlinearities to shed light on the forward bias puzzle remains…”
Threshold quantile autoregressive models (2011, unknown): “Hansen (1996), following Davies (1977, 1987) and Andrews and Ploberger (1994), proposes a supremum Wald test and an average Wald test.”