Macroeconomic Sources of Risk in the Term Structure
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- Hiona Balfoussia & Mike Wickens, 2007. "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 205-236, February.
- Michael R. Wickens & Chiona Balfoussia, 2004. "Macroeconomic Sources of Risk in the Term Structure," CEIS Research Paper 61, Tor Vergata University, CEIS.
References listed on IDEAS
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Cited by:
- Michael Wickens, 2014.
"How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics,"
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14/17, Department of Economics, University of York.
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"Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves,"
Journal of Banking & Finance,
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More about this item
Keywords
term structure; the stochastic discount factor model; term premia; GARCH;JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2004-12-12 (All new papers)
- NEP-FIN-2004-12-12 (Finance)
- NEP-FIN-2004-12-15 (Finance)
- NEP-MAC-2004-12-12 (Macroeconomics)
- NEP-RMG-2004-12-12 (Risk Management)
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