Term structure of interest rates and the expectation hypothesis: The Euro area
From MaRDI portal
Publication:2464244
DOI10.1016/j.ejor.2006.08.034zbMath1142.91552MaRDI QIDQ2464244
Silvana Musti, Rita L. D'Ecclesia
Publication date: 10 December 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2006.08.034
91B84: Economic time series analysis
91B26: Auctions, bargaining, bidding and selling, and other market models
Cites Work
- Autoregressive model fitting for control
- A Theory of the Term Structure of Interest Rates
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- An equilibrium characterization of the term structure
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models