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No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth · Study

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PreprintNo-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

Caroline Jardet2011

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Preprintgreen2011

No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

Caroline Jardet · Alain Monfort · Fulvio Pegoraro

38 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1998Generalized impulse response analysis in linear multivariate models 1996Impulse response analysis in nonlinear multivariate models 1992Efficient Tests for an Autoregressive Unit Root 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 1994Automatic Lag Selection in Covariance Matrix Estimation

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2012Correcting Estimation Bias in Dynamic Term Structure Models 2010No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth 2015Long memory affine term structure models 2017Interest Rates Under Falling Stars

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Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations38

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.1340303

openalex_workW2007435227

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