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Predictability of Interest Rates and Interest-Rate Portfolios

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  • Bali, Turan
  • Heidari, Massoud
  • Wu, Liuren

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  • Bali, Turan & Heidari, Massoud & Wu, Liuren, 2009. "Predictability of Interest Rates and Interest-Rate Portfolios," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 517-527.
  • Handle: RePEc:bes:jnlbes:v:27:i:4:y:2009:p:517-527
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    File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.06124
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    Cited by:

    1. Haitao Li & Xiaoxia Ye, 2013. "A Type of HJM Based Affine Model: Theory and Empirical Evidence," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    2. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
    3. Rui Chen & Jiri Svec & Maurice Peat, 2016. "Forecasting the Government Bond Term Structure in Australia," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 99-111, June.
    4. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.

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