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Modelling the Term Structure
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Modelling the Term Structure (1995)Modelling the Term StructureMean-variance cointegration and the expectations hypothesis (2013)Mean-variance cointegration a…An Affine Macro-Factor Model of the UK Yield Curve (2007)An Affine Macro-Factor Model …Fractional cointegration and the term structure (2004)Fractional cointegration and …TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS (2003)TESTING THE EXPECTATIONS THEO…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Discretion versus policy rules in practice (1993)Applying a macro-finance yield curve to UK quantitative Easing (2013)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Cointegration and Tests of Present Value Models (1987)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Threshold Cointegration: Model Selection with an Application (2013)
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  • 2013Mean-variance cointegration and the expectations hypothesis30 cited
  • 2003TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS22 cited
  • 2007An Affine Macro-Factor Model of the UK Yield Curve22 cited
  • 2004Fractional cointegration and the term structure16 cited

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