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Beating the random walk : a performance assessment of long-term interest rate forecasts

Butter, Frank A. G. den; Jansen, Pieter W. - In: Applied financial economics 23 (2013) 7/9, pp. 749-765

Persistent link: https://www.econbiz.de/10009750989

Nonparametric conditional density estimation of short-term interest rate movements : procedures, results and risk management implications

Kalda, Ankit; Siddiqui, Sikandar - In: Applied financial economics 23 (2013) 7/9, pp. 671-684

Persistent link: https://www.econbiz.de/10009750636

Comparing forecasting ability of parametric and non-parametric methods : an application with Canadian monthly interest rates

Saltoǧlu, Burak - In: Applied financial economics 13 (2003) 3, pp. 169-176

Persistent link: https://www.econbiz.de/10001742845

The Rate of Return on Everything, 1870–2015

Jordà, Òscar - 2018

What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the long-run? Which particular assets have the highest long-run returns? We answer these questions on the basis of a new...

Persistent link: https://www.econbiz.de/10012931594

An empirical analysis of the German long-term interest rate

Butter, Frank A. G. den; Jansen, Pieter W. - In: Applied financial economics 14 (2004) 10, pp. 731-741

Persistent link: https://www.econbiz.de/10002111050

New evidence of the expectation hypothesis of interest rates : a flexible nonlinear approach

Mili, Medhi; Sahut, Jean-Michel; Teulon, Fredéric - In: Applied financial economics 22 (2012) 1/3, pp. 165-176

Persistent link: https://www.econbiz.de/10009419561

A full jump switching level GARCH model for short-term interest rate

Sheu, Her-jiun; Lee, Hsiang-tai - In: Applied financial economics 22 (2012) 4/6, pp. 479-489

Persistent link: https://www.econbiz.de/10009581297

Explaining the US bond yield conundrum

Bandholz, Harm; Clostermann, Jörg; Seitz, Franz - In: Applied financial economics 19 (2009) 7/9, pp. 539-550

Persistent link: https://www.econbiz.de/10003842640

Nonlinear adjustment between the Eonia and Euribor rates : a two-regime threshold cointegration analysis

Tamakoshi, Go; Hamori, Shigeyuki - In: Applied financial economics 24 (2014) 1/3, pp. 139-143

Persistent link: https://www.econbiz.de/10010391461

The information content of interest rate futures and time-varying risk premia

Staikouras, Sotiris K. - In: Applied financial economics 14 (2004) 11, pp. 761-771

Persistent link: https://www.econbiz.de/10002121581