Nonstationary term premia and cointegration of the term structure
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 80 (2003)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/ecolet
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"Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model,"
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- Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics Discussion Papers 2008-13, Kiel Institute for the World Economy.
- Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
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