No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
Caroline Jardet; Alain Monfort; Fulvio Pegoraro
| Year of publication: |
2013
|
|---|---|
| Authors: | Jardet, Caroline ; Monfort, Alain ; Pegoraro, Fulvio |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 2, p. 389-402
|
| Subject: | Averaging estimators | Persistence problem | Near-cointegration analysis | No-arbitrage affine term structure model | Term premia | GDP growth | New Information Response Functions | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Arbitrage | Wirtschaftswachstum | Economic growth | Kointegration | Cointegration | VAR-Modell | VAR model | Makroökonomik | Macroeconomics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009705647