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The Term Structure with Highly Persistent Interest Rates
16 references·1 citing·40 second hop
The Term Structure with Highly Persistent Interest Rates (1999)The Term Structure with Highly Persistent…Term Structure of Interest Rates (2008)Term Structure of Interest Ra…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models (1993)Exactly Median-Unbiased Estim…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimating Long-Run Economic Equilibria (1991)Estimating Long-Run Economic …Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Expectations Hypotheses Tests (2000)Expectations Hypotheses TestsDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International R&D spillovers (1995)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Further evidence on breaking trend functions in macroeconomic variables (1997)Testing for unit roots in heterogeneous panels (2003)Testing for Error Correction in Panel Data* (2007)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for a Unit Root in Time Series Regression (1988)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Statistical inference in vector autoregressions with possibly integrated processes (1995)Bounds testing approaches to the analysis of level relationships (2001)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
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  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 2008Term Structure of Interest Rates

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524 cited
  • 1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models470 cited
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    • 2000Expectations Hypotheses Tests13 cited