New Methods in Fixed Income Modeling by Mehdi Mili & Reyes Samaniego Medina & Filippo di Pietro

Author:Mehdi Mili & Reyes Samaniego Medina & Filippo di Pietro
Language: eng
Format: epub
ISBN: 9783319952857
Publisher: Springer International Publishing

3Following Tkacz (2001), when (d − b) = 0, the spread follows a stationary process and the shock duration is short-lived, i.e. this means that a shock would show a slow return towards the long-run equilibrium. If 0 < (d − b) < 0.5, there is a stationary process, and the shock duration is long-lived, and finally, if 0.5 < (d − b) < 1, the spread follows a non-stationary process, although it is mean-reverting and the shock duration is long-lived.

© Springer International Publishing AG, part of Springer Nature 2018

Mehdi Mili, Reyes Samaniego Medina and Filippo di Pietro (eds.)New Methods in Fixed Income ModelingContributions to Management Sciencehttps://doi.org/10.1007/978-3-319-95285-7_8

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