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Estimating Risk Premia in Money Market Rates
13 references·7 citing·46 second hop
Estimating Risk Premia in Money Market Rates (2003)Estimating Risk Premia in Money Market Ra…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Term Structure of Interest Rates (2011)Term Structure of Interest Ra…The Term Structure of Euro-Rates: Some Evidence in Support of the Expectations Hypothesis (2005)The Term Structure of Euro-Ra…The ECB monetary policy strategy and the money market (2001)The ECB monetary policy strat…Using the Term Structure of Interest Rates for Monetary Policy (1998)Using the Term Structure of I…Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure (1997)Explaining the Failures of th…The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)The Forward Discount Anomaly …Time-Varying Volatility and the Dynamic Behavior of the Term Structure (1993)Time-Varying Volatility and t…A Multi-Country Comparison of Term Structure Forecasts at Long Horizons (1991)A Multi-Country Comparison of…Yield Spreads and Interest Rate Movements: A BirdAS Eye View (1989)Yield Spreads and Interest Ra…Cointegration and Tests of Present Value Models (1986)Cointegration and Tests of Pr…Alternative Tests of Rational Expectations Models: The Case of the Term Structure (1980)Alternative Tests of Rational…Can the Fed Control Real Interest Rates? (1979)Can the Fed Control Real Inte…Measuring Interest Rate Expectations in Canada (2021)Measuring Interest Rate Expec…Measuring Monetary Policy Expectations from Financial Market Instruments (2008)Measuring Monetary Policy Exp…The Pricing Behaviour of Italian Firms: New Survey Evidence on Price Stickiness (2004)The Pricing Behaviour of Ital…Identifying the Monetary Transmission Mechanism Using Structural Breaks (2004)Identifying the Monetary Tran…Comparing Economic Dynamics in the EU and CEE Accession Countries (2004)Comparing Economic Dynamics i…Towards the estimation of equilibrium exchange rates for CEE acceding countries: methodological issues and a panel cointegration perspective * (2003)Towards the estimation of equ…Short-term estimates of euro area real GDP by means of monthly data (2003)Short-term estimates of euro …Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Asset Pricing with Observable Stochastic Discount Factors (2002)Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox (2006)Preferred habitat for liquidity in international short-term interest rates (2007)The Handbook of Experimental Economics (1995)Law and Finance (1996)Legal Determinants of External Finance (1997)The microstructure of the euro money market (2001)Monetary Policy Announcements and Money Markets: A Transatlantic Perspective (2003)Forecasting Government Bond Yields with Neural Networks Considering Cointegration (2015)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Generalized autoregressive conditional heteroskedasticity (1986)Intraday Volatility in Interest‐Rate and Foreign‐Exchange Markets: ARCH, Announcement, and Seasonality Effects (2001)Bayesian inference in a Stochastic Volatility Nelson–Siegel model (2010)Volatility spillovers from the Chinese stock market to economic neighbours (2013)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? 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this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence315 cited
  • 1986Cointegration and Tests of Present Value Models260 cited
  • 1989Yield Spreads and Interest Rate Movements: A BirdAS Eye View177 cited
  • 2011Term Structure of Interest Rates137 cited
  • 1997Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure105 cited
  • 1998Using the Term Structure of Interest Rates for Monetary Policy85 cited
  • 2001The ECB monetary policy strategy and the money market84 cited
  • 1993Time-Varying Volatility and the Dynamic Behavior of the Term Structure77 cited
  • 1991A Multi-Country Comparison of Term Structure Forecasts at Long Horizons70 cited
  • 1980Alternative Tests of Rational Expectations Models: The Case of the Term Structure60 cited
  • 2005The Term Structure of Euro-Rates: Some Evidence in Support of the Expectations Hypothesis46 cited
  • 1979Can the Fed Control Real Interest Rates?41 cited

Cited by

  • 2004The Pricing Behaviour of Italian Firms: New Survey Evidence on Price Stickiness76 cited
  • 2004Comparing Economic Dynamics in the EU and CEE Accession Countries

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48 cited
  • 2003Short-term estimates of euro area real GDP by means of monthly data47 cited
  • 2003Towards the estimation of equilibrium exchange rates for CEE acceding countries: methodological issues and a panel cointegration perspective *27 cited
  • 2021Measuring Interest Rate Expectations in Canada25 cited
  • 2008Measuring Monetary Policy Expectations from Financial Market Instruments23 cited
  • 2004Identifying the Monetary Transmission Mechanism Using Structural Breaks17 cited