variables: the dividend yield, two factors driving the one-period real interest rate and the rate of inflation. The model …

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … struc- ture and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating … the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors …

-variance cointegration we actually find cointegration relations between spreads and premia in US data. …

model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction … frequently mentioned structural effects on long-term interest rates. Finally, our bond yield equation outperforms a random walk … Einflüsse und/oder strukturelle Faktoren zum niedrigen Niveau der Renditen in den USA in den letzten Jahren beigetragen haben …

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …