Term structure of interest rates and the expectation hypothesis: The Euro area
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Publication:2464244
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
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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