[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Peso Problem Explanations for Term Structure Anomalies. (1997). Marshall, David ; Hodrick, Robert ; Bekaert, Geert.
In: NBER Working Papers.
RePEc:nbr:nberwo:6147.

Full description at Econpapers || Download paper

Cited: 34

Citations received by this document

Cites: 34

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach. (2020). lucey, brian ; Bekiros, Stelios ; Brian, Lucey ; Stelios, Bekiros ; Christos, Avdoulas.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:24:y:2020:i:4:p:23:n:4.

    Full description at Econpapers || Download paper

  2. The exchange rate as nominal anchor: A test for Ukraine. (2012). Conway, Patrick .
    In: Journal of Comparative Economics.
    RePEc:eee:jcecon:v:40:y:2012:i:3:p:438-456.

    Full description at Econpapers || Download paper

  3. A Concise History of Exchange Rate Regimes in Latin America. (2010). Rapetti, Martin ; Frenkel, Roberto.
    In: UMASS Amherst Economics Working Papers.
    RePEc:ums:papers:2010-01.

    Full description at Econpapers || Download paper

  4. A Concise History of Exchange Rate Regimes in Latin America. (2010). Rapetti, Martin ; Frankel, Roberto .
    In: CEPR Reports and Issue Briefs.
    RePEc:epo:papers:2010-11.

    Full description at Econpapers || Download paper

  5. Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates. (2008). Thornton, Daniel ; Guidolin, Massimo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008977.

    Full description at Econpapers || Download paper

  6. The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment. (2006). Siklos, Pierre ; Haug, Alfred.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:10:y:2006:i:4:n:6.

    Full description at Econpapers || Download paper

  7. A Kalman filter approach to characterizing the Canadian term structure of interest rates. (2005). Morley, James ; Gravelle, Toni.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:10:p:691-705.

    Full description at Econpapers || Download paper

  8. The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective. (2005). Wu, Tao ; Rudebusch, Glenn.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:3.

    Full description at Econpapers || Download paper

  9. Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters. (2005). Cogley, Timothy.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:8:y:2005:i:2:p:420-451.

    Full description at Econpapers || Download paper

  10. Growth-cycle features of East Asian countries: are they similar?. (2005). girardin, eric.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:10:y:2005:i:2:p:143-156.

    Full description at Econpapers || Download paper

  11. The Term Spread International Evidence of Non-Linear Adjustment. (2004). Siklos, Pierre ; Haug, Alfred.
    In: Working Papers.
    RePEc:yca:wpaper:2002_08.

    Full description at Econpapers || Download paper

  12. Regime-dependent synchronization of growth cycles between Japan and East Asia. (2004). girardin, eric.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:66.

    Full description at Econpapers || Download paper

  13. Testing for a Level Effect in Short-Term Interest Rates. (2004). Suardi, Sandy ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:924.

    Full description at Econpapers || Download paper

  14. Estimates of time-varying term premia for New Zealand and Australia. (2003). Gordon, Michael.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2003/06.

    Full description at Econpapers || Download paper

  15. Real Risk, Inflation Risk, and the Term Structure. (2002). Evans, Martin.
    In: Working Papers.
    RePEc:geo:guwopa:gueconwpa~02-02-10.

    Full description at Econpapers || Download paper

  16. Investor psychology in capital markets: evidence and policy implications. (2002). Teoh, Siew Hong ; Hirshleifer, David ; Daniel, Kent.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:49:y:2002:i:1:p:139-209.

    Full description at Econpapers || Download paper

  17. Expectation puzzles, time-varying risk premia, and affine models of the term structure. (2002). Singleton, Kenneth ; Qiang, Dai ; Singleton Kenneth J., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:63:y:2002:i:3:p:415-441.

    Full description at Econpapers || Download paper

  18. The effects of the introduction of the euro on the volatility of European stock markets. (2002). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:10:p:2047-2064.

    Full description at Econpapers || Download paper

  19. Investor Psychology and Asset Pricing. (2001). Hirshleifer, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:5300.

    Full description at Econpapers || Download paper

  20. What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?. (2001). Tinsley, Peter ; Kozicki, Sharon.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp01-02.

    Full description at Econpapers || Download paper

  21. Peso problem explanations for term structure anomalies. (2001). Marshall, David ; Hodrick, Robert ; Bekaert, Geert.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:48:y:2001:i:2:p:241-270.

    Full description at Econpapers || Download paper

  22. Predictable changes in yields and forward rates. (2001). Wu, Liuren ; Backus, David ; Silverio, Foresi ; Abon, Mozumdar.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:59:y:2001:i:3:p:281-311.

    Full description at Econpapers || Download paper

  23. Term structure views of monetary policy under alternative models of agent expectations. (2001). Tinsley, Peter ; Kozicki, Sharon.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:1-2:p:149-184.

    Full description at Econpapers || Download paper

  24. TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT. (2000). Lanne, Markku.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:294.

    Full description at Econpapers || Download paper

  25. Expectations Hypotheses Tests. (2000). Hodrick, Robert ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7609.

    Full description at Econpapers || Download paper

  26. Inflation Targets and the Yield Curve: New Zealand and Australia versus the US.. (2000). Siklos, Pierre.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:5:y:2000:i:1:p:15-32.

    Full description at Econpapers || Download paper

  27. Devaluation-risk-related peso problems in stock returns. (2000). Penttinen, Aku.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:10:y:2000:i:2:p:181-197.

    Full description at Econpapers || Download paper

  28. The Structure of Real Interest Rates in Chile.. (2000). Walker, Eduardo ; Lefort, Fernando ; Eduardo Walker H., ; Fernando Lefort G., .
    In: Journal Economía Chilena (The Chilean Economy).
    RePEc:chb:bcchec:v:3:y:2000:i:2:p:31-52.

    Full description at Econpapers || Download paper

  29. Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations. (1999). Ahrens, Ralf .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:199914.

    Full description at Econpapers || Download paper

  30. Financial Markets Assessment of EMU. (1999). Bates, David S..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6874.

    Full description at Econpapers || Download paper

  31. Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift. (1999). Lanne, Markku.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:1999_020.

    Full description at Econpapers || Download paper

  32. Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?. (1998). Evans, Martin.
    In: Finance.
    RePEc:wpa:wuwpfi:9809001.

    Full description at Econpapers || Download paper

  33. Regime Switches in Interest Rates. (1998). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6508.

    Full description at Econpapers || Download paper

  34. Using the term structure of interest rates for monetary policy. (1998). Goodfriend, Marvin.
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:1998:i:sum:p:13-30.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ait-Sahalia, Y., 1996, Testing Continuous-Time Models of the Spot Interest Rate, Review of Financial Studies 9, 385-426.

  2. Akaike, H., 1973, Information Theory and the Extension of the Maximum Likelihood Principle. In 2nd International Symposium on Information Theory, RN. Petrov and F. Csaki, eds., Budapest.
    Paper not yet in RePEc: Add citation now

  3. Backus, D. K, A Gregory and S. B. Zin, 1989, Risk Premiums in the Term Structure: Evidence from Artificial Economies, Journal of Monetary Economics 24, 371-399.

  4. Backus, D. K, S. Foresi, A. Mozumdar and L. Wu, 1997, Predictable Changes in Yields and Forward Rates, manuscript.

  5. Backus, D. K., 1993, Cox-Ingersoll-Ross in Discrete Time, manuscript, New York University.
    Paper not yet in RePEc: Add citation now

  6. Backus, D. K., and S. E. Zin, 1994, Reverse Engineering the Yield Curve, NBER Working Paper No. 4676.

  7. Baillie, R. T. and T. Bollerslev, 1997, The Forward Premium Anomaly is not as Bad as you Think, manuscript. - Bekaert, 0., R. J. Hodrick, and D. Marshall, 1997a, On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates, Journal of Financial Economics 44, 309348. Bekaert, 0., R. J. Hodrick, and D. Marshall, 199Th, The Implications of First-Order Risk Aversion for Asset Market Risk Premiums, Journal of Monetary Economics, forthcoming.

  8. Bollerslev, T., R. Y. Chou, and K.F. Kroner, 1992, ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence, Journal of Econometrics 52, 5-60.

  9. Bray, M. M., 1982, Learning Estimation and the Stability of Rational Expectations, Journal of Economic Theory 26, 3 18-339.

  10. Campbell, J. Y., and R. J. Shiller, 1991, Yield Spreads and Interest Rate Movements: A Birds Eye View, Review of Economic Studies 58, 495-514.

  11. Campbell, J.Y., A. L.o and C. MacKinlay, 1997, The Econometrics of Financial Markets, Princeton University Press: Princeton.
    Paper not yet in RePEc: Add citation now
  12. Conley, T., L. P. Hansen, E. Luttmer, and J. Scheinkman, 1994, Estimating Subordinated Diffusions from Discrete Time Data, manuscript.
    Paper not yet in RePEc: Add citation now

  13. Cox, 1, J. Ingersoll, and S. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica 53, 385-408.

  14. Evans, M. D. D. and K K Lewis, 1994, Do Risk Premia Explain It All? Evidence from the Term Structure, Journal of Monetary Economics 33, 285-318.

  15. Evans, M. D. D., 1995, Peso Problems: Their Theoretical and Empirical Implications, forthcoming in C.R. Rao, ed., Handbook of Statistics: Statistical Methods in Finance.

  16. Fama, B. F. and R. Bliss, 1987, The Information in Long-Maturity Rates, American Economic Review 77, 680-692.
    Paper not yet in RePEc: Add citation now

  17. Fama, E. F., 1984, The Information in the Term Structure of Interest Rates, Journal of Financial Economics 13, 509-528.

  18. Fisher, M. and C. Gilles, 1996, Term Premia in Exponential-Affine Models of the Term Structure, Board of Governors of the Federal Reserve System, manuscript.
    Paper not yet in RePEc: Add citation now

  19. Flood, R. P. and P. M. Garber, 1980, An Economic Theory of Monetary Reform, Journal of Political Economy 88, 24-58.

  20. Gerlach, S., and F. Smets, The Term Structure of Euro-rates: Some Evidence in Support of the Expectations Hypothesis, 1997, Journal of International Money and Finance 16, 305-321.

  21. Gray, S. F., 1995, An Analysis of Conditional Regime-Switching Models, manuscript.
    Paper not yet in RePEc: Add citation now
  22. Gray, S. F., 1996, Modelling the Conditional Distribution of Interest Rates as a Regime-Switching Process, Journal of Financial Economics 42, 27-62.
    Paper not yet in RePEc: Add citation now

  23. Hansen, L. P., 1982, Large Sample Properties of Generalized Method of Moments Estimators, Econometrica 50, 1029-1054.

  24. Hardouvelis, 0. A., 1994, The Term Structure Spread and Future Changes in Long and Short Rates in the 07 Countries: Is There a Puzzle? Journal of Monetary Economics 33, 255-284.

  25. Jorion, P., and F. Mishkin, 1991, A Multicountry Comparison of Term-Structure Forecasts at Long Horizons, Journal of Financial Economics 29, 59-80.

  26. Kendall, M. 0., 1954, Note on Bias in the Estimation of Autocorrelation, Biometrika 41. 403-404.
    Paper not yet in RePEc: Add citation now

  27. Manlciw, N. G., and J. A. Miron, 1986, `The Changing Behavior of the Term Structure of Interest Rates, Quarterly Journal of Economics. 101, 211-228.

  28. Marcet, A., and T. J. Sargent, 1989, Convergence of Least Squares Learning Mechanisms in SelfReferential Linear Stochastic Models, Journal of Economic Theory 48, 337-368.

  29. McCallum, B. T., 1994, Monetary Policy and the Term Structure of Interest Rates, manuscript.

  30. Rudebusch, G. D., 1995, Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure, Journal of Monetary Economics 35, 245-274.

  31. Schwarz, G., 1978, Estimating the Dimension of a Model, Annals of Statistics 6, 461-464.
    Paper not yet in RePEc: Add citation now

  32. Shiller, R. 1, J. Y. Campbell, and K L. Schoenholtz, 1983, Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates, Brookings Papers on Economic Activity, 45 173-223.

  33. Tauchen, 0., and R. Hussey, 1991, Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models, Econometrica 59, 371-396.

  34. White, H., 1982, Maximum Likelihood Estimation of Misspeeified Models, Econometrica 50, 1-25.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-059.

    Full description at Econpapers || Download paper

  2. Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99. (2006). Spencer, Peter.
    In: Discussion Papers.
    RePEc:yor:yorken:04/16.

    Full description at Econpapers || Download paper

  3. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws060101.

    Full description at Econpapers || Download paper

  4. The Dynamics of the Short-Term Interest Rate in the UK. (2005). Bernales, Alejandro ; Beuermann, Diether ; Antoniou, Antonios .
    In: Finance.
    RePEc:wpa:wuwpfi:0512029.

    Full description at Econpapers || Download paper

  5. ESTIMATING SINGLE FACTOR JUMP DIFFUSION INTEREST RATE MODELS. (2005). Sorwar, Ghulam.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:56.

    Full description at Econpapers || Download paper

  6. Discounting the distant future: How much does model selection affect the certainty equivalent rate?. (2005). Pantelidis, Theologos ; Panopoulou, Ekaterini ; Koundouri, Phoebe ; Groom, Ben.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1480105.

    Full description at Econpapers || Download paper

  7. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions. (2005). Phillips, Peter ; Bandi, Federico M..
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1522.

    Full description at Econpapers || Download paper

  8. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:2290.

    Full description at Econpapers || Download paper

  9. Calibration of Interest Rate Models - Transition Market Case. (2004). Vojtek, Martin.
    In: Finance.
    RePEc:wpa:wuwpfi:0410015.

    Full description at Econpapers || Download paper

  10. On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates. (2004). Rodrigues, Paulo ; Rubia, Antonio.
    In: Econometrics.
    RePEc:wpa:wuwpem:0405004.

    Full description at Econpapers || Download paper

  11. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications. (2004). Wagner, Niklas ; Szimayer, Alexander ; Junker, Markus.
    In: Econometrics.
    RePEc:wpa:wuwpem:0401007.

    Full description at Econpapers || Download paper

  12. Does the Term Spread Play a Role in the Feds Reaction Function? An Empirical Investigation. (2004). Vázquez, Jesús.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:52.

    Full description at Econpapers || Download paper

  13. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC. (2004). Zhang, Xibin ; King, Maxwell ; Hyndman, Rob.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-9.

    Full description at Econpapers || Download paper

  14. Bayesian Analysis of Continuous Time Models of the Australian Short Rate. (2004). Martin, Gael ; Sanford, Andrew D..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-11.

    Full description at Econpapers || Download paper

  15. The term structure of real rates and expected inflation. (2004). Bekaert, Geert ; Ang, Andrew.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:3.

    Full description at Econpapers || Download paper

  16. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:11.

    Full description at Econpapers || Download paper

  17. Does the Term Spread play a role in the FEDs reaction function? An Empirical Investigation. (2004). .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200402.

    Full description at Econpapers || Download paper

  18. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC. (2004). King, Maxwell ; Hyndman, Rob ; Zhang, Xibin.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:120.

    Full description at Econpapers || Download paper

  19. Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?. (2004). Vázquez, Jesús.
    In: Economic Working Papers at Centro de Estudios Andaluces.
    RePEc:cea:doctra:e2004_11.

    Full description at Econpapers || Download paper

  20. Market Valuation and Risk Assessment of Canadian Banks. (2004). Yuan, Mingwei ; Papakirykos, Eli ; Liu, Ying.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-34.

    Full description at Econpapers || Download paper

  21. Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility. (2003). Steel, Mark ; Griffin, James E..
    In: Econometrics.
    RePEc:wpa:wuwpem:0201002.

    Full description at Econpapers || Download paper

  22. Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad. (2003). Valachy, Juraj ; Kočenda, Evžen.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2003-622.

    Full description at Econpapers || Download paper

  23. A two-factor model of the German term structure of interest rates. (2003). Luis, Jorge Barros ; Cassola, Nuno.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:11:p:783-806.

    Full description at Econpapers || Download paper

  24. Quasi-maximum likelihood estimates of Kiwi short-term interest rate. (2003). Treepongkaruna, Sirimon.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:15:p:937-942.

    Full description at Econpapers || Download paper

  25. Bootstrap Specification Tests for Diffusion Processes. (2003). Swanson, Norman ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200321.

    Full description at Econpapers || Download paper

  26. Does the Black-Scholes formula work for electricity markets? A nonparametric approach. (2003). Hjalmarsson, Erik.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0101.

    Full description at Econpapers || Download paper

  27. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-32.

    Full description at Econpapers || Download paper

  28. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:502.

    Full description at Econpapers || Download paper

  29. Asset Pricing Under The Quadratic Class. (2002). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:0207015.

    Full description at Econpapers || Download paper

  30. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; Castaldi, Carolina ; M. Gentile, R. Reno, ; Dosi, Giovanni.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2002/02.

    Full description at Econpapers || Download paper

  31. Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries. (2002). Vahid, Farshid ; Athanasopoulos, George ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-20.

    Full description at Econpapers || Download paper

  32. Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?. (2002). .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200233.

    Full description at Econpapers || Download paper

  33. A Non-Parametric Dimension Test of the Term Structure. (2002). Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200201.

    Full description at Econpapers || Download paper

  34. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. (2001). Jagannathan, Ravi ; Kaplin, Andrew ; Sun, Steve Guoqiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8682.

    Full description at Econpapers || Download paper

  35. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1309.

    Full description at Econpapers || Download paper

  36. A nonparametric dimension test of the term structure. (2001). Gil-Bazo, Javier ; Rubio, Gonzalo.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb012106.

    Full description at Econpapers || Download paper

  37. An Asset Allocation Puzzle: Comment. (2001). Portait, Roland ; Jordan, James V. ; Bajeux-Besnainou, Isabelle .
    In: American Economic Review.
    RePEc:aea:aecrev:v:91:y:2001:i:4:p:1170-1179.

    Full description at Econpapers || Download paper

  38. On identification of continuous time stochastic processes. (2000). Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-07.

    Full description at Econpapers || Download paper

  39. Accelerated Asymptotics for Diffusion Model Estimation. (2000). Phillips, Peter ; Bandi, Federico.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1656.

    Full description at Econpapers || Download paper

  40. Structural Breaks in the Cointegrated Vector Autoregressive Model. (2000). Hansen, Peter.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1240.

    Full description at Econpapers || Download paper

  41. Strong Rules for Detecting the Number of Breaks in a Time Series. (2000). Corradi, Valentina ; Altissimo, Filippo .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0574.

    Full description at Econpapers || Download paper

  42. Structural Changes in the Cointegrated Vector Autoregressive Model. (2000). Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2000-20.

    Full description at Econpapers || Download paper

  43. Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models. (1999). Downing, Christopher T..
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:111.

    Full description at Econpapers || Download paper

  44. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Boudoukh, Jacob ; Richardson, Matthew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7213.

    Full description at Econpapers || Download paper

  45. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Boudoukh, Jacob ; Whitelaw, Robert ; Stanton, Richard ; Richardson, Matthew.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-042.

    Full description at Econpapers || Download paper

  46. Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets. (1999). Remolona, Eli ; Fung, Ben.
    In: Staff Working Papers.
    RePEc:bca:bocawp:99-6.

    Full description at Econpapers || Download paper

  47. Regime Switches in Interest Rates. (1998). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6508.

    Full description at Econpapers || Download paper

  48. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1998). Ng, Serena ; Ghysels, Eric.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:403.

    Full description at Econpapers || Download paper

  49. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1997). Ng, Serena ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-33.

    Full description at Econpapers || Download paper

  50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:93.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-15 15:45:07 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.