SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
16 references·4 citing·37 second hop
No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth (2011)No-Arbitrage Near-Cointegrated VAR(p) Ter…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…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…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Interest Rates Under Falling Stars (2017)Interest Rates Under Falling …Long memory affine term structure models (2015)Long memory affine term struc…Correcting Estimation Bias in Dynamic Term Structure Models (2012)Correcting Estimation Bias in…No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth (2010)No-Arbitrage Near-Cointegrate…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Macroeconomics and Reality (1980)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)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)Time Series Regression with a Unit Root (1987)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)A simple panel unit root test in the presence of cross‐section dependence (2007)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,492 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • Cited by

    • 2012Correcting Estimation Bias in Dynamic Term Structure Models52 cited
    • 2010No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth38 cited
    • 2015Long memory affine term structure models31 cited
    • 2017Interest Rates Under Falling Stars16 cited