Estimation of a rational expectations model of the term structure
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References listed on IDEAS
- Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
- Singleton, Kenneth J, 1980. "Expectations Models of the Term Structure and Implied Variance Bounds," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1159-1176, December.
- Sargent, Thomas J., 1979.
"A note on maximum likelihood estimation of the rational expectations model of the term structure,"
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Elsevier, vol. 5(1), pages 133-143, January.
- Thomas J. Sargent, 1978. "A note on maximum likelihood estimation of the rational expectations model of the term structure," Staff Report 26, Federal Reserve Bank of Minneapolis.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
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- Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008.
"The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value,"
Journal of Financial Economics,
Elsevier, vol. 89(1), pages 158-174, July.
- Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L, 2007. "The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value," CEPR Discussion Papers 6445, C.E.P.R. Discussion Papers.
- Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers 2006-061, Federal Reserve Bank of St. Louis.
- Ranaldo, Angelo & Rupprecht, Matthias, 2016. "Explaining the Failure of the Expectations Hypothesis with Short-Term Rates," Working Papers on Finance 1619, University of St. Gallen, School of Finance, revised Jan 2017.
- Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007.
"Uncovered interest rate parity and the term structure,"
Journal of International Money and Finance,
Elsevier, vol. 26(6), pages 1038-1069, October.
- Geert Bekaert & Min Wei & Yuhang Xing, 2002. "Uncovered Interest Rate Parity and the Term Structure," NBER Working Papers 8795, National Bureau of Economic Research, Inc.
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