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Multicointegration and present value relations

Engsted, Tom; Gonzalo, Jesús; Haldrup, Niels - 1995

Persistent link: https://www.econbiz.de/10000915773

Does the long-term interest rate predict future inflation? : A multi-country analysis

Engsted, Tom - In: The review of economics and statistics 77 (1995) 1, pp. 42-54

Persistent link: https://www.econbiz.de/10001180424

The predictive power of the money market term structure

Engsted, Tom - In: International journal of forecasting 12 (1996) 2, pp. 289-295

Persistent link: https://www.econbiz.de/10001204613

The term structure of interest rates in Denmark 1982 - 89 : testing the rational expectations constant liquidity premium theory

Engsted, Tom - In: Bulletin of economic research 45 (1993) 1, pp. 19-37

Persistent link: https://www.econbiz.de/10001138154

A parametric factor model of the term structure of mortality

Haldrup, Niels; Rosenskjold, Carsten P. T. - 2018

Persistent link: https://www.econbiz.de/10011797536

A parametric factor model of the term structure of mortality

Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22

The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...

Persistent link: https://www.econbiz.de/10012025646