Testing for a break in the persistence in yield spreads of EMU government bonds
Year of publication: |
2014
|
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Authors: | Sibbertsen, Philipp ; Wegener, Christoph ; Basse, Tobias |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 41.2014, p. 109-118
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Subject: | Testing uncovered interest parity | Fractional integration | Changing persistence | Zinsstruktur | Yield curve | EU-Staaten | EU countries | Öffentliche Anleihe | Public bond | Zinsparität | Interest rate parity | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Eurozone | Euro area | Zins | Interest rate |
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