Are German money market rates well behaved?

DOI10.1016/S0165-1889(99)00009-3zbMATH Open0953.91017WikidataQ127280730 ScholiaQ127280730MaRDI QIDQ1978477FDOQ1978477

D. Nitzsche, Simon Hayes, K. Cuthbertson

Publication date: 4 June 2000

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

interest ratesmoney marketexpectation hypothesisvariety of metrics

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for a unit root in time series regression
• The persistence in volatility of the US term premium 1970--1986

Cited In (1)

• Fractional integration and the volatility of UK interest rates

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