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Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model

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  • Staikouras, Sotiris K.

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  • Staikouras, Sotiris K., 2006. "Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 169-189, May.
  • Handle: RePEc:eee:quaeco:v:46:y:2006:i:2:p:169-189
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    1. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
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    5. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    6. Simpson, W. Gary & Ireland, Timothy C., 1985. "The Impact of Financial Futures on the Cash Market for Treasury Bills," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(03), pages 371-379, September.
    7. K. Ben Nowman & Sotiris K. Staikouras, 1998. "The Volatility of Greek Interbank Rates: A Continuous Time Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 5-14, April - J.
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    9. B. Wade Brorsen, 1991. "Futures trading, transaction costs, and stock market volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 153-163, April.
    10. Bessembinder, Hendrik & Seguin, Paul J, 1992. " Futures-Trading Activity and Stock Price Volatility," Journal of Finance, American Finance Association, vol. 47(5), pages 2015-2034, December.
    11. Brennan, Michael J. & Schwartz, Eduardo S., 1977. "Savings bonds, retractable bonds and callable bonds," Journal of Financial Economics, Elsevier, vol. 5(1), pages 67-88, August.
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    13. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    14. Schaefer, Stephen M, 1981. "Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities," Economic Journal, Royal Economic Society, vol. 91(362), pages 415-438, June.
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    24. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-1237, December.
    25. Brennan, Michael J. & Schwartz, Eduardo S., 1980. "Analyzing Convertible Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(04), pages 907-929, November.
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    Cited by:

    1. Mojisola Olugbode & Ahmed El-Masry & John Pointon, 2014. "Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach," Manchester School, University of Manchester, vol. 82(4), pages 409-464, July.

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