Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004
Download full text from publisher
Other versions of this item:
- Peter D. Spencer, 2008. "Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1177-1215, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhuoshi Liu & Peter Spencer, 2009. "An Admissible Term Structure Model Of Sovereign Yield Spreads With Macro Factors: The Case Of Brazilian Global Bonds," Manchester School, University of Manchester, vol. 77(s1), pages 108-125, September.
- Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
- Ireland, Peter N., 2015.
"Monetary policy, bond risk premia, and the economy,"
Journal of Monetary Economics,
Elsevier, vol. 76(C), pages 124-140.
- Peter N. Ireland, 2014. "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics 852, Boston College Department of Economics.
- Peter N. Ireland, 2015. "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers 21576, National Bureau of Economic Research, Inc.
- Spencer, Peter & Liu, Zhuoshi, 2010.
"An open-economy macro-finance model of international interdependence: The OECD, US and the UK,"
Journal of Banking & Finance,
Elsevier, vol. 34(3), pages 667-680, March.
- Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
- repec:eee:joecas:v:11:y:2014:i:c:p:8-18 is not listed on IDEAS
More about this item
KeywordsMacro-finance; affine term structure; heteroscedasticity;
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:yor:yorken:07/32. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Paul Hodgson). General contact details of provider: http://edirc.repec.org/data/deyoruk.html .
We have no references for this item. You can help adding them by using this form .