Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration
Year of publication: |
2000-07-31
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Authors: | Hallerbach, Winfried G. |
Institutions: | Tinbergen Institute |
Subject: | interest rates | duration | averaging | time series properties | spurious autocorrelation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 00-064/2 |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G10 - General Financial Markets. General |
Source: |
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Hallerbach, Winfried G., (2000)
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Hallerbach, Winfried G., (2000)
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Hallerbach, Winfried G., (2000)
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Hallerbach, Winfried G., (1999)
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