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The impact of expectations on the co-integration relationship between the stock and REIT markets

Erol, Umit; Yüksel, Aydın; Yüksel, Aslı; Ozturk, Hakki - In: Global business & economics review 27 (2022) 1, pp. 20-42

Persistent link: https://www.econbiz.de/10013453730

Interest rate futures : evidence on forecast power, expected premiums, and the unbiased expectations hypothesis

Krehbiel, Timothy L. - In: The journal of futures markets 14 (1994) 5, pp. 531-543

Persistent link: https://www.econbiz.de/10001169817

Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model

Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56

Persistent link: https://www.econbiz.de/10011642177

Are bond markets really overpriced : the case of the US

Clostermann, Jörg; Seitz, Franz - 2005

empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …

Persistent link: https://www.econbiz.de/10012002995

Inflation regimes in the US term structure of inetrest rates

Tillmann, Peter - In: Economic modelling 24 (2007) 2, pp. 203-223

Persistent link: https://www.econbiz.de/10003415656

Empirical proxies for the consumption-wealth ratio

Rudd, Jeremy B.; Whelan, Karl - In: Review of economic dynamics 9 (2006) 1, pp. 34-51

Persistent link: https://www.econbiz.de/10003274657

Does consumption-wealth ratio signal stock returns? : VECM results for Germany

Fang, Xu (contributor) - 2005

This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two-stage method. In this paper, performances of...