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

DOI10.1007/BF02926034zbMATH Open0850.90006MaRDI QIDQ1901784FDOQ1901784

Authors: Yanyan Li 

Publication date: 11 December 1995

Published in: Statistical Papers (Search for Journal in Brave)

Mathematics Subject Classification ID

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting and testing in co-integrated systems
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• Statistical analysis of cointegration vectors
• On the power of unit root tests against fractional alternatives
• Stochastic dynamic properties of linear econometric models
• The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure
• Title not available (Why is that?)

Cited In (2)

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

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