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Fractional cointegration and the term structure · Study

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ArticleFractional cointegration and the term structure

Sandrine Lardic2004

Article2004

Fractional cointegration and the term structure

Sandrine Lardic · Val�rie Mignon

16 citations·0/0 files stored·Empirical Economics

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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 1988Testing for a Unit Root in Time Series Regression 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

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2009A Semiparametric Analysis of the Term Structure of the US Interest Rates*

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Year2004

Typearticle

Published2004-11-04

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations16

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1007/s00181-004-0206-8

openalex_workW2076837112

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