Similar Search Results

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

Cyclicality and term structure of value‐at‐risk within a threshold autoregression setup

Bec, Frédérique; Gollier, Christian - 2014

Persistent link: https://www.econbiz.de/10010415730

The relationship between interest rate differentials and macroeconomic variables : a panel data study for European countries

Bernhardsen, Tom - In: Journal of international money and finance 19 (2000) 2, pp. 289-308

Persistent link: https://www.econbiz.de/10001483506

Nonlinear Dynamics of Conditional Term Premia and Business Cycles

Siddique, Akhtar R. - 1999

The characterization of term premia movements continues to be a puzzle in finance though the term premia are used for return predictability and studying broader economic activity. We analyze the movements of the first and second conditional moments of term premia in a non-linear non- parametric...

Persistent link: https://www.econbiz.de/10012790146