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Which alternative to choose: does the excess sensitivity hypothesis or a time varying term premium explain the failure of the rational expectations hypothesis of the term structure?

Tzavalis, Elias - 1997

Persistent link: https://www.econbiz.de/10000980792

An introduction to the theory and the econometric tests of the rational expectations hypothesis of the term structure of interest rates

Tzavalis, Elias - 1993

Persistent link: https://www.econbiz.de/10000891677

The term premium and the puzzles of the expectations hypothesis of the term structure

Tzavalis, Elias - In: Economic modelling 21 (2004) 1, pp. 73-93

Persistent link: https://www.econbiz.de/10001857852

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

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

Tzavalis, Elias; Wickens, Michael R. - 1994

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

Forecasting inflation from the term structure

Tzavalis, Elias; Wickens, Michael R. - 1995

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

Forecasting inflation from the term structure

Tzavalis, Elias - In: Journal of empirical finance 3 (1996) 1, pp. 103-122

Persistent link: https://www.econbiz.de/10001208677

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

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

Tzavalis, Elias; Wickens, Michael R. - 1994

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

Term Spread Regressions of the Rational Expectations Hypothesis of the Term Structure Allowing for Risk Premium Effects

Argyropoulos, Efthymios - 2013

This paper suggests term spread regression based tests allowing for time-varying term premium effects, with the aim of explaining the empirical failures of the term spread to forecast future movements in interest rates. To capture the e¤ects of a time-varying term premium on the term spread,...

Persistent link: https://www.econbiz.de/10013087497