The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: a Panel Data Approach
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- Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2012. "Alternative Term Structure Models for Reviewing Expectations Puzzles," Research Paper Series 305, Quantitative Finance Research Centre, University of Technology, Sydney.
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KeywordsINTEREST RATE ; RISK ; ECONOMETRIC MODELS ; MODELS ; ECONOMETRICS;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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