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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. " Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-82, December.
- Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
- Fladung, Michael, 2007. "Spill-over effects of monetary policy: a progress report on interest rate convergence in Europe," Discussion Paper Series 1: Economic Studies 2007,27, Deutsche Bundesbank, Research Centre.
- 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.
- Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(28), pages 1-20.
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