On the term structure of interest rates -- empirical results for Germany

DOI10.1007/BF02926034MaRDI QIDQ1901784zbMATH OpenFDO

Authors Yanyan Li

Publication date 11 December 1995

Published in Statistical Papers (Search for Journal in Brave)

Mathematics Subject Classification ID

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3439847 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Forecasting and testing in co-integrated systems
• On the power of unit root tests against fractional alternatives
• Statistical analysis of cointegration vectors
• Stochastic dynamic properties of linear econometric models
• The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure

Cited in

(2)

• Nonstationary term premia and cointegration of the term structure
• Mean-variance cointegration and the expectations hypothesis

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