Similar Search Results

Forecasting inflation from the term structure : a cointegration approach

Wickens, Mike; Tzavalis, Elias - 1992

Persistent link: https://www.econbiz.de/10000137105

The rational expectations hypothesis of the term structure : reconciling the evidence

Tzavalis, Elias; Wickens, Michael R. - 1994

Persistent link: https://www.econbiz.de/10000895299

Forecasting inflation from the term structure

Tzavalis, Elias; Wickens, Michael R. - 1995

Persistent link: https://www.econbiz.de/10000939712

Explaining the failures of the term spread models of the rational expectations hypothesis of the term structure

Tzavalis, Elias - In: Journal of money, credit and banking : JMCB 29 (1997) 3, pp. 364-380

Persistent link: https://www.econbiz.de/10001226631

Asset pricing with observable stochastic discount factors

Smith, Peter N. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001653785

A re-examination of the regional expectations hypothesis of the term structure : reconciling the evidence from long-run and short-run tests

Tzavalis, Elias; Wickens, Michael R. - In: International journal of finance & economics : IJFE 3 (1998) 3, pp. 229-239

Persistent link: https://www.econbiz.de/10001434205

What was the market's view of UK monetary policy? : Estimating inflation risk and expected inflation with indexed bonds

Remolona, Eli M.; Wickens, Michael R.; Gong, Frank Fangxiong - 1998

Persistent link: https://www.econbiz.de/10000998660

The persistence in volatility of the US term premium : 1970 - 1986

Tzavalis, Elias; Wickens, Michael R. - 1994

Persistent link: https://www.econbiz.de/10000912868

Asset pricing with observable stochastic discount factors

Smith, Peter; Wickens, Michael R. - In: Journal of economic surveys 16 (2002) 3, pp. 397-446

Persistent link: https://www.econbiz.de/10001686269

Macroeconomic sources of risk in the term structure

Balfoussia, Chiona; Wickens, Michael R. - 2004

In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond returns of different maturity and the fundamental...

Persistent link: https://www.econbiz.de/10002464251