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A Cointegration Analysis of Treasury Bill Yields
12 references·1 citing·40 second hop
A Cointegration Analysis of Treasury Bill Yields (2010)A Cointegration Analysis of Treasury Bill…Explorations Into Factors Explaining Money Market Returns (1994)Explorations Into Factors Exp…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…The Predictive Power of the Term Structure During Recent Monetary Regimes (1988)The Predictive Power of the T…The information in forward rates (1988)The information in forward ra…Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Interpreting cointegrated models (1988)Interpreting cointegrated mod…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…Monetary policy regime shifts and the unusual behavior of real interest rates (1986)Monetary policy regime shifts…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Evolving yield curves in the real-world measures: a semi-parametric approach (2005)Evolving yield curves in the …An equilibrium characterization of the term structure (1977)Expected stock returns and volatility (1987)A nonlinear general equilibrium model of the term structure of interest rates (1989)Changes in Expected Security Returns, Risk, and the Level of Interest Rates (1989)Risk premiums in the term structure (1989)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Idiosyncratic Variation of Treasury Bill Yields (1996)Modern Investment Management: An Equilibrium Approach (2003)Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Stochastic trends and economic fluctuations in a small open economy (1992)Stock prices and bond yields (1992)Two Pillars of Asset Pricing (2014)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)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)Bounds testing approaches to the analysis of level relationships (2001)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)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
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1988Testing for Common Trends1,894 cited
  • 1994Explorations Into Factors Explaining Money Market Returns277 cited
  • 1988The information in forward rates264 cited
  • 1988Interpreting cointegrated models246 cited
  • 1986Monetary policy regime shifts and the unusual behavior of real interest rates194 cited
  • 1988The Predictive Power of the Term Structure During Recent Monetary Regimes163 cited

Cited by

  • 2005Evolving yield curves in the real-world measures: a semi-parametric approach33 cited

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