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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
Tests for jumps in yield spreads
Winkelmann, Lars
;
Yao, Wenying
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 946-957
Persistent link: https://www.econbiz.de/10015053510
Saved in:
2
Term structures of inflation expectations and real interest rates
Aruoba, S. Borağan
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 542-553
Persistent link: https://www.econbiz.de/10012262493
Saved in:
3
Expectations and risk premia at 8:30 a.m. : deciphering the responses of bond yields to macroeconomic announcements
Hördahl, Peter
;
Remolona, Eli M.
;
Valente, Giorgio
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10012179494
Saved in:
4
Bank business models at zero interest rates
Lucas, André
;
Schaumburg, Julia
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 542-555
Persistent link: https://www.econbiz.de/10012178195
Saved in:
5
The variance risk premium : components, term structures, and stock return predictability
Li, Junye
;
Zinna, Gabriele
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 411-425
Persistent link: https://www.econbiz.de/10012249166
Saved in:
6
Restrictions on risk prices in dynamic term structure models
Bauer, Michael D.
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 196-211
Persistent link: https://www.econbiz.de/10011894602
Saved in:
7
Testing for threshold diffusion
Su, Fei
;
Chan, Kung-sik
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 218-227
Persistent link: https://www.econbiz.de/10011704178
Saved in:
8
Enhancing estimation for interest rate diffusion models with bond prices
Zou, Tao
;
Chen, Song Xi
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
3
,
pp. 486-498
Persistent link: https://www.econbiz.de/10011705972
Saved in:
9
Unspanned macroeconomic factors in the yield curve
Coroneo, Laura
;
Giannone, Domenico
;
Modugno, Michele
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
3
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011691663
Saved in:
10
A new linear estimator for Gaussian dynamic term structure models
Díez de los Ríos, Antonio
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
2
,
pp. 282-295
Persistent link: https://www.econbiz.de/10011390043
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11
Do central bank liquidity facilities affect interbank lending rates?
Christensen, Jens H. E.
;
López, José A.
;
Rudebusch, …
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 136-151
Persistent link: https://www.econbiz.de/10010380470
Saved in:
12
Correcting estimation bias in dynamic term structure models
Bauer, Michael D.
;
Rudebusch, Glenn D.
;
Wu, Jing Cynthia
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
3
,
pp. 454-467
Persistent link: https://www.econbiz.de/10009658338
Saved in:
13
An econometric analysis of some models for constructed binary time series
Harding, Don
;
Pagan, Adrian R.
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 86-95
Persistent link: https://www.econbiz.de/10009159112
Saved in:
14
A pure-jump transaction-level price model yielding cointegration
Hurvich, Clifford M.
;
Wang, Yi
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 539-558
Persistent link: https://www.econbiz.de/10008736141
Saved in:
15
Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Koopman, Siem Jan
;
Mallee, Max I. P.
;
Wel, Michel van der
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
3
,
pp. 329-343
Persistent link: https://www.econbiz.de/10008736215
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16
Forecasting recessions: the puzzle of the enduring power of the yield curve
Rudebusch, Glenn D.
;
Williams, John C.
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
4
,
pp. 492-503
Persistent link: https://www.econbiz.de/10003913423
Saved in:
17
Predictability of interest rates and interest-rate portfolios
Bali, Turan
;
Heidari, Massoud
;
Wu, Liuren
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
4
,
pp. 517-527
Persistent link: https://www.econbiz.de/10003913431
Saved in:
18
Tree-structured multiple regimes in interest rates
Audrino, Francesco
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
3
,
pp. 338-353
Persistent link: https://www.econbiz.de/10003349357
Saved in:
19
Regime shifts, risk premiums in the term structure, and the business cycle
Bansal, Ravi
;
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
4
,
pp. 396-409
Persistent link: https://www.econbiz.de/10002372889
Saved in:
20
Iterative and recursive estimation in structural nonadaptive models
Pastorello, Sergio
;
Patilea, Valentin
;
Renault, Eric
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
4
,
pp. 449-482
Persistent link: https://www.econbiz.de/10001807000
Saved in:
21
Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
2
,
pp. 183-197
Persistent link: https://www.econbiz.de/10001660372
Saved in:
22
Bootstrap-based inference in models with a nearly noninvertible moving average component
Gospodinov, Nikolaj
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10001660381
Saved in:
23
Cointegration and threshold adjustment
Enders, Walter
;
Siklos, Pierre L.
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
2
,
pp. 166-176
Persistent link: https://www.econbiz.de/10001568815
Saved in:
24
Time series and cross-section information in affine term-structure models
Jong, Frank de
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
3
,
pp. 300-314
Persistent link: https://www.econbiz.de/10001493859
Saved in:
25
Interest-rate arbitrage in currency baskets : forecasting weights and measuring risk
Christoffersen, Peter F.
;
Giorgianni, Lorenzo
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
2
,
pp. 242-253
Persistent link: https://www.econbiz.de/10001469690
Saved in:
26
Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates
Enders, Walter
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
3
,
pp. 304-311
Persistent link: https://www.econbiz.de/10001246510
Saved in:
27
Arbitrage opportunities in arbitrage-free models of bond pricing
Backus, David
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
1
,
pp. 13-26
Persistent link: https://www.econbiz.de/10001231059
Saved in:
28
Heterogeneity, aggregate uncertainty, and the short-term interest rate
Den Haan, Wouter J.
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
4
,
pp. 399-411
Persistent link: https://www.econbiz.de/10001209352
Saved in:
29
Specification of echelon-form VARMA models
Lütkepohl, Helmut
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10001203177
Saved in:
30
A model-selection approach to assessing the information in the term structure using linear models and artificial neural networks
Swanson, Norman R.
- In:
Journal of business & economic statistics : JBES ; a …
13
(
1995
)
3
,
pp. 265-275
Persistent link: https://www.econbiz.de/10001182360
Saved in:
31
A spectral-temporal index : with an application to US interest rates
Lim, Guay C.
- In:
Journal of business & economic statistics : JBES ; a …
12
(
1994
)
1
,
pp. 81-93
Persistent link: https://www.econbiz.de/10001167028
Saved in:
32
Benchmarking the expectations hypothesis of the interest-rate term structure : an analysis of cointegration vectors
Shea, Gary S.
- In:
Journal of business & economic statistics : JBES ; a …
10
(
1992
)
3
,
pp. 347-366
Persistent link: https://www.econbiz.de/10001126531
Saved in:
33
Tests for parameter instability in regressions with I(1) processes
Hansen, Bruce E.
- In:
Journal of business & economic statistics : JBES ; a …
10
(
1992
)
3
,
pp. 321-335
Persistent link: https://www.econbiz.de/10001126533
Saved in:
34
Why random walk models of the term structure are hard to reject
Berger, Allen N.
- In:
Journal of business & economic statistics : JBES ; a …
7
(
1989
)
2
,
pp. 161-167
Persistent link: https://www.econbiz.de/10001090361
Saved in:
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