Lucchetti, Riccardo; Palomba, Giulio - In: Economic Modelling 26 (2009) 3, pp. 659-667
Starting from the work by Campbell and Shiller (Campbell, J.Y. and Shiller, R.J. (1987). Cointegration and tests of present value models. Journal of Political Economy, 95(5):1062-1088.), empirical analysis of interest rates has been conducted in the framework of cointegration. However, parts of...