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
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
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

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