𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Time-varying risk and long-term reversals: A re-examination of the international evidence

✍ Scribed by Jordan, Steven J


Book ID
124059564
Publisher
Palgrave Publishers Ltd.
Year
2011
Tongue
English
Weight
192 KB
Volume
43
Category
Article
ISSN
0047-2506

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


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

The time-varying behaviour of real inter
✍ Basma Bekdache πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 257 KB

A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the coecients relating the ex ante real rate to the nominal rate, the inΒ―ation rate and a supply shock variable and (2) unconditi