The persistence in volatility of the US term premium 1970-1986
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- Tzavalis, E. & Wickens, M.R., 1994. "The Persistence in Volatility of the US Term Premium 1970-1986," Discussion Papers 9409, Exeter University, Department of Economics.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fang, WenShwo & Miller, Stephen M., 2009.
"Modeling the volatility of real GDP growth: The case of Japan revisited,"
Japan and the World Economy,
Elsevier, vol. 21(3), pages 312-324, August.
- WenShwo Fang & Stephen M. Miller, 2008. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers 2008-47, University of Connecticut, Department of Economics.
- WenShwo Fang & Stephen M. Miller, 2009. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers 0904, University of Nevada, Las Vegas , Department of Economics.
- WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008.
"Cross-Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models,"
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Scottish Economic Society, vol. 55(4), pages 509-541, September.
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- Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series 09-02, Luxembourg School of Finance, University of Luxembourg.
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- Till Strohsal & Enzo Weber, 2014.
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- Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
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- George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary University of London, School of Economics and Finance.
- Choudhry, Taufiq, 2016. "Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from Europe," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 303-311.
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More about this item
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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