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Non-parametric regression models of deviations from orthogonality in the expectations theory of the term structure

Campbell, Bryan - In: Oxford bulletin of economics and statistics 59 (1997) 2, pp. 265-284

Persistent link: https://www.econbiz.de/10001223699

Over-rejections in rational expectations models : a non-parametric approach to the Mankiw-Shapiro problem

Campbell, Bryan - In: Economics letters 35 (1991) 3, pp. 285-290

Persistent link: https://www.econbiz.de/10001102355

Inference in expectations models of the term structure : a non-parametric approach

Campbell, Bryan - In: Empirical economics : a journal of the Institute for … 18 (1993) 4, pp. 623-638

Persistent link: https://www.econbiz.de/10001331527

An empirical analysis of the Canadian budget process

Campbell, Bryan - In: The Canadian journal of economics 30 (1997) 3, pp. 553-576

Persistent link: https://www.econbiz.de/10001231798

Price Discovery in Canadian and U.S. 10-Year Government Bond Markets

Campbell, Bryan - 2008

This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...

Persistent link: https://www.econbiz.de/10012725883