alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we …

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government … although we do show how to impose various restrictions in the estimation. Our method is based on Kernel smoothing and is … our estimation procedure is iterative, rather like the backfitting method of estimating non-parametric models. We …

; Parameter estimation uncertainty ; Probability integral transform ; Quadratic form ; Short-term interest rate ; Transition …

We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions … tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of …