Short and Long Horizon Term and Inflation Risk Premia in the US Term Structure: Evidence from an Integrated Model for Nominal and Real Bond Prices under Regime Shifts
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Bibliographic InfoPaper provided by Center for Research in Security Prices, Graduate School of Business, University of Chicago in its series CRSP working papers with number 508.
Date of creation: Dec 1999
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- Ang, Andrew & Bekaert, Geert, 2004.
"The Term Structure of Real Rates and Expected Inflation,"
CEPR Discussion Papers, C.E.P.R. Discussion Papers
4518, C.E.P.R. Discussion Papers.
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- Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, American Finance Association, vol. 63(2), pages 797-849, 04.
- Andrew Ang & Geert Bekaert & Min Wei, 2007. "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers 12930, National Bureau of Economic Research, Inc.
- Ang, Andrew & Bekaert, Geert, 2002. "Short rate nonlinearities and regime switches," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(7-8), pages 1243-1274, July.
- Pietro Veronesi, . "Belief-dependent Utilities, Aversion to State-Uncertainty and Asset Prices,”," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 529, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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