Testing the expectations hypothesis of the term structure with permanent-transitory component models
Year of publication: |
2013
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Authors: | Casalin, Fabrizio |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 3192-3203
|
Subject: | Term structure of interest rates | Kalman filter | MC simulations | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Simulation | Theorie | Theory | Schätzung | Estimation | Erwartungsbildung | Expectation formation | Rationale Erwartung | Rational expectations | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis |
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