Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe
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- Ralf Brüggemann & Helmut Lütkepohl, 2005. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," SFB 649 Discussion Papers SFB649DP2005-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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More about this item
KeywordsUnit Roots; Multiple Frequency I(1) Process; Nonrational Transfer Function; Cointegration; VARMA Process; Information Criteria;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-08-13 (All new papers)
- NEP-EEC-2005-08-13 (European Economics)
- NEP-FMK-2005-08-13 (Financial Markets)
- NEP-MON-2005-08-13 (Monetary Economics)
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