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Validity of the expectations hypothesis of the term structure of interest rates : the case of Saudi Arabia
Harrathi, Nizar; Alhoshan, Hamed M. - In: Review of Middle East economics and finance 16 (2020) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012299802
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Rethinking cointegration and the expectation hypothesis of the term structure
Li, Jing; Davis, George Keith - In: Journal of empirical finance 44 (2017), pp. 177-189
Persistent link: https://www.econbiz.de/10011818012
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The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200
Persistent link: https://www.econbiz.de/10011549904
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Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model
Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56
Persistent link: https://www.econbiz.de/10011642177
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Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
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Modelling the dynamics of long-term bonds with Kalman filter
Mawonike, Romeo; Ikpe, Dennis; Gyamerah, Samuel Asante - In: International journal of bonds and derivatives 4 (2021) 3, pp. 236-257
Persistent link: https://www.econbiz.de/10012612669
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A Markov switching unobserved component analysis of the CDX index term premium
Calice, Giovanni; Ioannidis, Christos; Miao, Rong Hui - In: International review of financial analysis 44 (2016), pp. 189-204
Persistent link: https://www.econbiz.de/10011623992
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A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
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State-space of the Vasicek model for long-term bonds with Kalman filter
Mawonike, Romeo; Ikpe, Dennis; Gyamerah, Samuel Asante - In: International journal of financial engineering 10 (2023) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10014304258
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Testing the expectations hypothesis for the Eurozone : a nonlinear cointegration analysis
Araç, Ayşen; Yalta, A. Yasemin - In: Finance research letters 15 (2015), pp. 41-48
Persistent link: https://www.econbiz.de/10011552951