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Nonlinear interest rate dynamics and implications for the term structure Author info | Abstract | Publisher info | Download info | Related research | Statistics Pfann, Gerard A.
Schotman, Peter C.
Tschernig, Rolf
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Article provided by Elsevier in its journal Journal of Econometrics .
Volume (Year): 74 (1996)
Issue (Month): 1 (September)
Pages: 149-176
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Handle: RePEc:eee:econom:v:74:y:1996:i:1:p:149-176Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom
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References listed on IDEAS 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.: Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993.
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LeRoy, Stephen F, 1989.
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Engle, Robert F & Kozicki, Sharon, 1993.
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Leroy, S.F., 1989.
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Shiller, Robert J, 1979.
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Shiller, Robert J. & Huston McCulloch, J., 1990.
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Robert J. Shiller & J. Huston McCulloch, 1987.
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Campbell, John Y & Shiller, Robert J, 1991.
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"Modelling Non-Linear Relationships Between Long-Memory Variables ,"
University of California at San Diego, Economics Working Paper Series
93-48, Department of Economics, UC San Diego.
Campbell, John Y & Shiller, Robert J, 1984.
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Other versions: Engle, Robert F & Lilien, David M & Robins, Russell P, 1987.
"Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model ,"
Econometrica ,
Econometric Society, vol. 55(2), pages 391-407, March.
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Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992.
"A Cointegration Analysis of Treasury Bill Yields ,"
The Review of Economics and Statistics ,
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Geweke, John, 1994.
"Priors for Macroeconomic Time Series and Their Application ,"
Econometric Theory ,
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"Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market ,"
Oxford Bulletin of Economics and Statistics ,
Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
Shea, Gary S, 1991.
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Backus, David K & Zin, Stanley E, 1993.
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David K. Backus & Stanley E. Zin, 1993.
"Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates ,"
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"Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates ,"
Working Papers
93-04, New York University, Leonard N. Stern School of Business, Department of Economics.
David K. Backus & Stanley E. Zin, 1993.
"Long-memory inflation uncertainty: evidence from the term structure of interest rates ,"
Proceedings ,
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Yann Schorderet, 2002.
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"The Fractional OU Process: Term Structure Theory and Application ,"
Computing in Economics and Finance 2006
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Høg, Espen P. & Frederiksen, Per H., 2006.
"The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application ,"
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"How can we define the concept of long memory ? An econometric survey ,"
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K. Hubrich, .
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