The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence
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Other versions of this item:
- Elias Tzavalis & Michael Wickens, "undated". "The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence," Discussion Papers 95/33, Department of Economics, University of York.
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- Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
- Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
More about this item
KeywordsTerm structure; rational expectations; cointegration; 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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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