✦ LIBER ✦

Nonstationary term premia and cointegration of the term structure

✍ Scribed by Kai Carstensen

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

No-arbitrage Near-Cointegrated VAR(p) te

✍ Caroline Jardet; Alain Monfort; Fulvio Pegoraro 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 766 KB

The term structure of illiquidity premia

✍ Alexander Kempf; Olaf Korn; Marliese Uhrig-Homburg 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 832 KB

Fractional cointegration and the term st

✍ Sandrine Lardic; Valérie Mignon 📂 Article 📅 2004 🏛 Springer-Verlag 🌐 English ⚖ 253 KB

Cointegration and the US term structure

✍ Tom Engsted; Carsten Tanggaard 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 932 KB

The expectations hypothesis, term premia

✍ Walid Hejazi; Huiwen Lai; Xian Yang 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 97 KB

Cointegration of term structure premiums

✍ J. Madura; M.K. Wiley; E.R. Zarruk 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 305 KB