Tests for jumps in yield spreads
Year of publication: |
2024
|
---|---|
Authors: | Winkelmann, Lars ; Yao, Wenying |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 3, p. 946-957
|
Subject: | Break-even inflation | High-frequency data | Intersection union test | Jumps | Sequential testing | Term spread | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Statistischer Test | Statistical test | Schätzung | Estimation | Inflation | Volatilität | Volatility | Risikoprämie | Risk premium | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Öffentliche Anleihe | Public bond |
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