Mili, Medhi; Sahut, Jean-Michel; Teulon, Fredéric - In: Applied Financial Economics 22 (2012) 2, pp. 165-176
Conventional approaches to examining the Expectation Hypothesis (EH) assume a parametric linear specification among variables. In contrast, this article tests the hypothesis using a flexible nonlinear inference approach proposed by Hamilton (2001). We examine the impact of the nonlinearity of...