Term premia comovement in German, Japanese, and U.S. domestic markets

DOI10.1007/BF00999043MaRDI QIDQ1804599zbMATH OpenFDO

Authors Helen Popper

Publication date 15 May 1995

Published in Open Economies Review (Search for Journal in Brave)

zbMATH Keywords

international capital markets

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Nonstationary term premia and cointegration of the term structure
• Volatility and Links between National Stock Markets
• scientific article; zbMATH DE number 1304944
• Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A theory of the term structure of interest rates
• Asset Prices in an Exchange Economy
• On the Formulation of Wald Tests of Nonlinear Restrictions

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