Tests of the rational expectations model of the term structure of UK interest rates

DOI10.1016/0165-1765(82)90125-2MaRDI QIDQ356570zbMATH OpenOpenAlexFDO

Authors Nigel W. Duck, C. L. F. Attfield

Publication date 26 July 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(82)90125-2

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites work

• scientific article; zbMATH DE number 3350937 (Why is no real title available?)
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach

Cited in

(4)

• Econometric tests of rationality and market efficiency
• scientific article; zbMATH DE number 1304891 (Why is no real title available?)
• Price Pressures on UK Real Rates: An Empirical Investigation*
• TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS

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