SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Cointegration and the term structure: A multicountry comparison
16 references·1 citing·22 second hop
Cointegration and the term structure: A multicountry comparison (1996)Cointegration and the term structure: A m…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-integration, Error Correct…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…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…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010 (2012)The Spanish term structure of…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1988Testing for Common Trends1,894 cited
  • 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data1,758 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited

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

  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • Cited by

    • 2012The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–201015 cited