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The expectations hypothesis of the term structure of interest rates: evidence from the Fourier cointegration test
Güriş, Burak - In: Selected topics in applied econometrics, (pp. 139-147). 2019
Persistent link: https://www.econbiz.de/10012286977
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The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200
Persistent link: https://www.econbiz.de/10011549904
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Inflation and real short-term interest rates - a Kalman filter analysis of the term structure
Chen, Li-Hsueh - In: Applied economics 33 (2001) 7, pp. 855-861
Persistent link: https://www.econbiz.de/10001583564
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Dynamic estimation of an interest rate structure in Colombia : empirical analysis using the Kalman filter
Castaño, Rogelio Maldonado; Rueda, Natalia Zapata; … - In: Journal of economics, finance & administrative science 19 (2014) 37, pp. 70-77
The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development … which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead …, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation …
Persistent link: https://www.econbiz.de/10011872964
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A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Juneja, Januj Amar - In: Computational economics 60 (2022) 1, pp. 173-220
Persistent link: https://www.econbiz.de/10013262506
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State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade
Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011
employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …
Persistent link: https://www.econbiz.de/10010356541
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Asset pricing : modeling and estimation ; with 30 tables
Kellerhals, Boris-Philipp - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001857154
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Financial pricing models in continuous time and Kalman filtering
Kellerhals, Boris-Philipp; Kellerhals, Boris Philipp - 2001
Persistent link: https://www.econbiz.de/10001591594
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A new approach to estimating the natural rate of interest
Benati, Luca - 2021
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10012520193
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A new approach to estimating the natural rate of interest
Benati, Luca - 2022
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994a) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10013362282