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Cointegration and the term structure: A multicountry comparison · Study

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ArticleCointegration and the term structure: A multicountry comparison

Pierre L. Siklos1996

Article1996

Cointegration and the term structure: A multicountry comparison

Pierre L. Siklos · Mark E. Wohar

15 citations·0/0 files stored·International Review of Economics & Finance

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1985A Theory of the Term Structure of Interest Rates

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2012The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010

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Year1996

Typearticle

Published1996-01-01

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations15

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s1059-0560(96)90003-9

openalex_workW2076022607

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