Citations for "The Expectations Hypothesis of the Term Structure: The UK Interbank Market"
by Cuthbertson, Keith
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- Peter Tillmann, 2004.
"Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates,"
Econometric Society 2004 North American Summer Meetings
26, Econometric Society.
- Pawel Milobedzki, 2012.
"The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates,"
Dynamic Econometric Models,
Wydawnictwo Naukowe Uniwersytetu Mikolaja Kopernika, vol. 12, pages 5-18.
- Camarero, Mariam & Tamarit, Cecilio, 2002.
"Instability tests in cointegration relationships. An application to the term structure of interest rates,"
Elsevier, vol. 19(5), pages 783-799, November.
- Tzavalis, Elias, 2004.
"The term premium and the puzzles of the expectations hypothesis of the term structure,"
Elsevier, vol. 21(1), pages 73-93, January.
- Meredith Beechey & Erik Hjalmarsson & Par Osterholm, 2008.
"Testing the expectations hypothesis when interest rates are near integrated,"
International Finance Discussion Papers
953, Board of Governors of the Federal Reserve System (U.S.).
- Cuthbertson, Keith & Nitzsche, Dirk, 2003.
"Long rates, risk premia and the over-reaction hypothesis,"
Elsevier, vol. 20(2), pages 417-435, March.
- Tillmann, Peter, 2007.
"Inflation regimes in the US term structure of interest rates,"
Elsevier, vol. 24(2), pages 203-223, March.
- PeterTillmann, 2004.
"Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates,"
Computing in Economics and Finance 2004
53, Society for Computational Economics.
- Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000.
"Are German money market rates well behaved?,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 24(3), pages 347-360, March.
- Nautz, Dieter & Wolters, Jürgen, 1998.
"The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the US and Germany,"
SFB 373 Discussion Papers
1998,78, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Esteve, Vicente, 2006.
"A note on nonlinear dynamics in the Spanish term structure of interest rates,"
International Review of Economics & Finance,
Elsevier, vol. 15(3), pages 316-323.
- Angélica Arosemena, .
"Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura,"
Borradores de Economia
223, Banco de la Republica de Colombia.
- Peter Reinhard Hansen, 2000.
"Structural Breaks in the Cointegrated Vector Autoregressive Model,"
Econometric Society World Congress 2000 Contributed Papers
1240, Econometric Society.
- Drakos, Konstantinos, 2001.
"Monetary policy and the yield curve in an emerging market: the Greek case,"
Emerging Markets Review,
Elsevier, vol. 2(3), pages 244-262, September.
- Osmani T. Guillen & Benjamin M. Tabak, 2008.
"Characterizing the Brazilian Term Structure of Interest Rates,"
Working Papers Series
158, Central Bank of Brazil, Research Department.
- Hansen, Peter Reinhard, 2003.
"Structural changes in the cointegrated vector autoregressive model,"
Journal of Econometrics,
Elsevier, vol. 114(2), pages 261-295, June.
- Minoas Koukouritakis, 2010.
"Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 145(4), pages 757-774, January.
- Leo Krippner, 1998.
"Testing the predictive power of New Zealand bank bill futures rates,"
Reserve Bank of New Zealand Discussion Paper Series
G98/8, Reserve Bank of New Zealand.
- Fabrizio Casalin, 2007.
"Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates,"
110, University of Milano-Bicocca, Department of Economics, revised 2007.
- Jondeau, Eric & Ricart, Roland, 1999.
"The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates,"
Journal of International Money and Finance,
Elsevier, vol. 18(5), pages 725-750, October.
- Engsted, Tom, 2002.
" Measures of Fit for Rational Expectations Models,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 16(3), pages 301-55, July.