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Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen

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  • Dechert, Andreas

Abstract

Untersuchungsgegenstand dieser Arbeit sind Euribor-Zinssätze, zwischen denen wir fraktionale Kointegrationsbeziehungen vermuten. Dazu klären wir im ersten Schritt den Begriff der fraktionalen Integration und stellen sowohl semiparametrische als auch nicht-parametrische Verfahren zur Bestimmung der Anzahl der Kointegrationsbeziehungen vor. Des Weiteren geben wir eine Möglichkeit zur Schätzung der Kointegrationsbeziehungen an. Diese Methoden dienen dazu, die Markterwartungshypothese zu überprüfen, da diese nach Campbell und Shiller (1987) bei p Anzahl nicht-stationären Zinszeitreihen p - 1 Kointegrationsbeziehungen impliziert.

Suggested Citation

  • Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Department of Economics.
    • Handle: RePEc:zbw:wuewep:93
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    More about this item

    Keywords

    Fraktionale Integration; Fraktionale Kointegration; Markterwartungshypothese; Polynomiale Trends;
    All these keywords.

    JEL classification:

    • 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
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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