Time-Varying Risk Premia in the Single European Treasury Bill Market
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References listed on IDEAS
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More about this item
KeywordsExpectations hypothesis; Risk Premia; Perfect foresight regressions; VAR;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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