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The Information Content of the Yield Curve for Monetary Policy: A Survey

✍ Scribed by Jan Marc Berk


Book ID
111529115
Publisher
Springer
Year
1998
Tongue
English
Weight
73 KB
Volume
146
Category
Article
ISSN
0013-063X

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The information content of the yield cur
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## Abstract The present study applies GARCH models to explain and forecast the variation in monthly IPD total returns for office, retail and industrial space. With the exception of retail returns, the forecasting performance of the estimated GARCH models is very good. Over the 16‐month period from