A Term Structure Decomposition of the Australian Yield Curve
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Other versions of this item:
- Richard Finlay & Mark Chambers, 2009. "A Term Structure Decomposition of the Australian Yield Curve," The Economic Record, The Economic Society of Australia, vol. 85(271), pages 383-400, December.
References listed on IDEAS
- de Jong, Frank, 2000.
"Time Series and Cross-Section Information in Affine Term-Structure Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 18(3), pages 300-314, July.
- de Jong, Frank, 1999. "Time-series and Cross-section Information in Affine Term Structure Models," CEPR Discussion Papers 2065, C.E.P.R. Discussion Papers.
- Gregory R. Duffee, 2002. "Term Premia and Interest Rate Forecasts in Affine Models," Journal of Finance, American Finance Association, vol. 57(1), pages 405-443, February.
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- repec:bla:acctfi:v:57:y:2017:i:2:p:373-400 is not listed on IDEAS
- repec:bla:ausecp:v:56:y:2017:i:2:p:163-173 is not listed on IDEAS
- Li, Matthew C., 2016. "US term structure and international stock market volatility: The role of the expectations factor and the maturity premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 1-15.
More about this item
Keywordsexpected future short rate; term premia; term structure decomposition; affine term structure model; zero-coupon yield;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-03 (All new papers)
- NEP-FMK-2009-01-03 (Financial Markets)
- NEP-MAC-2009-01-03 (Macroeconomics)
- NEP-MON-2009-01-03 (Monetary Economics)
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