When units roots matter : excess volatility and excess smoothness of long-term interest rates
Year of publication: |
2001
|
---|---|
Authors: | Schotman, Peter C. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 8.2001, 5, p. 669-694
|
Subject: | Einheitswurzeltest | Unit root test | Kointegration | Cointegration | Zinsstruktur | Yield curve | VAR-Modell | VAR model | Volatilität | Volatility | USA | United States |
-
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard, (2021)
-
Could the bubble in U.S. house prices have been detected in real time?
Benati, Luca, (2017)
-
Explaining cointegration analysis, Part 2
Hendry, David F., (2001)
- More ...
-
When unit roots matter : excess volatility and excess smoothness of long term interest rates
Schotman, Peter C., (1991)
-
On Bayesian routes to unit roots
Schotman, Peter C., (1991)
-
On Bayesian routes to unit roots
Schotman, Peter C., (1991)
- More ...