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Introduction to m-m processes

Granger, C. W. J.; Hyung, Namwon - 1998

Persistent link: https://www.econbiz.de/10000993944

The term structure of interest rates : an analysis of the primary market for Italian treasury bonds

Maggioni, Paolo; Green, Christopher J. - 1997

Persistent link: https://www.econbiz.de/10000974744

A nonparametric model of term structure dynamics and the market price of interest rate risk

Stanton, Richard - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 1973-2002

Persistent link: https://www.econbiz.de/10001232335

A three-factor path-independent specification of the Heath, Jarrow, and Morton term structure model

Guo, Chen - In: Advances in financial planning and forecasting 7 (1997), pp. 123-137

Persistent link: https://www.econbiz.de/10001233863

Movements in the term structure of interest rates

Bliss, Robert R. - In: Economic review 82 (1997) 4, pp. 16-33

Persistent link: https://www.econbiz.de/10001234405

Explanations of an empirical puzzle : what can be learnt from a test of the rational expectations hypothesis?

Anderson, Heather M. - In: The journal of economic methodology 6 (1999) 1, pp. 31-59

Persistent link: https://www.econbiz.de/10001427382

Monetary policy surprises and the expectations hyothesis at the short of the yield curve

Demarialp, Selva (contributor) - 2008

We test the expectations hypothesis by analyzing changes in three month T-Bill rates (TB3) after FOMC meetings. By estimating the revisions in expectations of future overnight rates, we find a one-to-one relationship between changes in TB3 and path revisions. -- Expectations Hypothesis ; Policy...

Persistent link: https://www.econbiz.de/10003735169