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Re-examining and renewing theoretical underpinnings of the Futures field: A pressing and long-term challenge

✍ Scribed by Laurent Mermet; Ted Fuller; Ruud van der Helm


Book ID
116497641
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
92 KB
Volume
41
Category
Article
ISSN
0016-3287

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A re-examination of the rational expecta
✍ Elias Tzavalis; Michael Wickens πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 183 KB πŸ‘ 3 views

This paper explains the contradictory findings from long-run and short-run tests of the rational expectations hypothesis of the term structure. Recent research suggests that, while the long-run tests support the theory, the short-run tests do not. Our results which are based on US Treasury bills rat