Term structure of interest rates and the expectation hypothesis: The Euro area

DOI10.1016/j.ejor.2006.08.034zbMath1142.91552OpenAlexW2038102494MaRDI QIDQ2464244

Rita L. D'Ecclesia, Silvana Musti

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

zbMATH Keywords

term structure of interest ratescointegrationexpectations hypothesiserror correction model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26)

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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

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