✦ LIBER ✦

A Spectral-Temporal Index with an Application to U.S. Interest Rates

✍ Scribed by G. C. Lim and Vance L. Martin

Book ID: 124704381
Publisher: American Statistical Association
Year: 1994
Tongue: English
Weight: 453 KB
Volume: 12
Category: Article
ISSN: 0735-0015
DOI: 10.2307/1391925

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Forecasting with latent structure time s

Forecasting with latent structure time series models: an application to nominal interest rates

✍ Sridhar Iyer; Rick L. Andrews 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB 👁 2 views

In this paper we develop a latent structure extension of a commonly used structural time series model and use the model as a basis for forecasting. Each unobserved regime has its own unique slope and variances to describe the process generating the data, and at any given time period the model predic

A stochastic interest model with an appl

A stochastic interest model with an application to insurance

✍ Hans M. Dietz 📂 Article 📅 1992 🏛 Elsevier Science 🌐 English ⚖ 904 KB

Long-run Causality, with an Application

Long-run Causality, with an Application to International Links Between Long-term Interest Rates

✍ Catherine Bruneau; Eric Jondeau 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 600 KB

Maximum-Likelihood Estimation of Fractio

Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates

✍ Dueker, Michael; Startz, Richard 📂 Article 📅 1998 🏛 MIT Press 🌐 English ⚖ 133 KB

Maximum-Likelihood Estimation of Fractio

Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates

✍ Michael Dueker and Richard Startz 📂 Article 📅 1998 🏛 MIT Press 🌐 English ⚖ 314 KB

An application of comonotonicity and con

An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates

✍ Inge Koch; Ann De Schepper 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 891 KB