Engsted, Tom; Nyholm, Ken - In: Empirical Economics 25 (2000) 1, pp. 1-13
Within a bivariate VAR model allowing for two-state Markov regime switching we test and evaluate the Expectations Theory (ET) of the term structure using Danish 1- and 3-months interest rates covering the period 1976-1997. A regime-shift approach is used in order to account for the change in...
