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THE TERM STRUCTURE OF INTEREST RATES IN THE UK*
15 references·13 citing·41 second hop
THE TERM STRUCTURE OF INTEREST RATES IN THE UK* (1988)THE TERM STRUCTURE OF INTEREST RATES IN T…The Expectations Hypothesis of the Term Structure: The UK Interbank Market (1996)The Expectations Hypothesis o…Effects of model specification on tests for unit roots in macroeconomic data (1987)Effects of model specificatio…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Dividend Innovations and Stock Price Volatility (1986)Dividend Innovations and Stoc…Cointegration and Tests of Present Value Models (1986)Cointegration and Tests of Pr…Testing Rational Expectations and Efficiency in the Foreign Exchange Market (1983)Testing Rational Expectations…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…The term structure of the forward premium (1981)The term structure of the for…The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Macroeconomics and Reality (1980)Macroeconomics and RealityDo Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…A note on maximum likelihood estimation of the rational expectations model of the term structure (1979)A note on maximum likelihood …Rational Expectations, Econometric Exogeneity, and Consumption (1978)Rational Expectations, Econom…The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies (2010)The term structure of interes…Monetary Policy and the Behaviour of Interest Rates: Are Long Rates Excessively Volatile? 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(1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Stock Prices and Social Dynamics (1984)Mean Reversion in Equilibrium Asset Prices (1988)The Information in the Longer Maturity Term Structure about Future Inflation (1989)Fiscal Foresight and Information Flows (2013)Testing for a Unit Root in Time Series Regression (1988)Why Does Stock Market Volatility Change Over Time? (1989)Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)The distribution of realized stock return volatility (2001)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)On Testing for Speculative Bubbles (1990)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)Stock market volatility around national elections (2008)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Business conditions and expected returns on stocks and bonds (1989)ARCH modeling in finance (1992)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1987Effects of model specification on tests for unit roots in macroeconomic data637 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1986Dividend Innovations and Stock Price Volatility313 cited
  • 1986Cointegration and Tests of Present Value Models260 cited
  • 1978Rational Expectations, Econometric Exogeneity, and Consumption199 cited
  • 1979A note on maximum likelihood estimation of the rational expectations model of the term structure188 cited
  • 1983Testing Rational Expectations and Efficiency in the Foreign Exchange Market182 cited
  • 1996The Expectations Hypothesis of the Term Structure: The UK Interbank Market93 cited
  • 1981

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The term structure of the forward premium
50 cited

Cited by

  • 1995THE TERM STRUCTURE OF INTEREST RATES IN THE LONDON INTERBANK MARKET50 cited
  • 2002Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates39 cited
  • 1991The term structure of interest rates under rational expectations: some international evidence39 cited
  • 1994Reexamining the monetary approach to the exchange rate: the dollar-franc, 1976—9037 cited
  • 1994On the Expectations View of the Term Structure, Term Premia and Survey- Based Expectations33 cited
  • 2005Monetary Policy and the Behaviour of Interest Rates: Are Long Rates Excessively Volatile?28 cited
  • 1991The term structure of UK interest rates: tests of the expectations hypothesis26 cited
  • 2010The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies19 cited
  • 1995The information content of the yield curve in Australia18 cited
  • 1995The expectations theory of the term structure: a cointegration/causality analysis of US interest rates17 cited
  • 1991The expectations hypothesis of the term structure: More evidence17 cited
  • 2002Long- and short-term interest rates in 19 countries: Tests of cointegration and parameter instability15 cited
  • 1998Testing the expectations theory in a market of short-term financial assets14 cited