Evaluating the robustness of UK term structure decompositions using linear regression methods
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DOI: 10.1016/j.jbankfin.2016.02.006
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- Malik, Sheheryar & Meldrum, Andrew, 2014. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Bank of England working papers 518, Bank of England.
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More about this item
Keywords
Affine term structure model; Term premia; Bias correction; Interest rate surveys;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
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