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Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates

Psaradakis, Zacharias G. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10003558927

Risk premia with Markov regimes and the term structure of interest rates

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - 2002

Persistent link: https://www.econbiz.de/10001717801

On the power of tests for superexogeneity and structural invariance

Psaradakis, Zacharias G.; Sola, Martin - 1993

Persistent link: https://www.econbiz.de/10000883420

The expectations model of the term structure : an empirical paradox

Driffill, John; Psaradakis, Zacharias; Sola, Martin - 1993

Persistent link: https://www.econbiz.de/10000137123

On the power of tests for superexogeneity and structural invariance

Psaradakis, Zacharias; Sola, Martin - 1993

Persistent link: https://www.econbiz.de/10000142702

Testing the expectations hypothesis of the term structure using instrumental variables

Driffill, John; Psaradakis, Zacharias G.; Sola, Martin - In: International journal of finance & economics : IJFE 3 (1998) 4, pp. 321-325

Persistent link: https://www.econbiz.de/10001434233

A reconciliation of some paradoxical empirical results on the expectations model of the term structure

Driffill, John - In: Oxford bulletin of economics and statistics 59 (1997) 1, pp. 29-42

Persistent link: https://www.econbiz.de/10001223732

On the power of tests for superexogeneity and structural invariance

Psaradakis, Zacharias G. - In: Journal of econometrics 72 (1996) 1, pp. 151-175

Persistent link: https://www.econbiz.de/10001198020

Estimating and forecasting the yield curve using a Markov switching dynamic Nelson and Siegel model

Hevia, Constantino; González Rozada, Martín; Sola, Martin - In: Journal of applied econometrics 30 (2015) 6, pp. 987-1009

Persistent link: https://www.econbiz.de/10011431680

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10010417491