Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
Efthymios Argyropoulos and Elias Tzavalis
| Year of publication: |
2015
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|---|---|
| Authors: | Argyropoulos, Efthymios ; Tzavalis, Elias |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 19.2015, 1, p. 49-70
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| Subject: | affine term structure model | principal components | rational expectations hypothesis of the term structure of interest rates | time-varying term premium | Zinsstruktur | Yield curve | Rationale Erwartung | Rational expectations | Theorie | Theory | Risikoprämie | Risk premium | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: PDF Reader |
| Other identifiers: | 10.1515/snde-2012-0024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011311197