SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
16 references·0 citing·38 second hop
TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS (2003)TESTING THE EXPECTATIONS THEORY OF THE TE…A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…Testing for two-regime threshold cointegration in vector error-correction models (2002)Testing for two-regime thresh…Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates (1998)Unit-Root Tests and Asymmetri…Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates (1998)Unit-Root Tests and Asymmetri…Testing and Modeling Multivariate Threshold Models (1998)Testing and Modeling Multivar…A threshold error-correction model for intraday futures and index returns (1998)A threshold error-correction …Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market (1997)Transaction Costs and Nonline…Threshold Cointegration (1997)Threshold CointegrationModeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…The term structure spread and future changes in long and short rates in the G7 countries (1994)The term structure spread and…A Cointegration Analysis of Treasury Bill Yields (1992)A Cointegration Analysis of T…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…The Changing Behavior of the Term Structure of Interest Rates (1986)The Changing Behavior of the …Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Does Stock Market Volatility Change Over Time? (1989)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Theory of the Term Structure of Interest Rates (1985)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Co-integration and Error Correction: Representation, Estimation, and Testing (1991)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Quantile cointegrating regression (2008)Trends and random walks in macroeconmic time series (1982)Testing for Common Trends (1988)Cointegration and Threshold Adjustment (2001)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)Asymmetric Price Transmission: A Survey (2004)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Forecasting and testing in co-integrated systems (1987)Analysis of Financial Time Series (2006)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Modelling Nonlinear Economic Time Series (2010)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)A literature survey on energy–growth nexus (2009)Survey of the international evidence on the causal relationship between energy consumption and growth (2010)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)Interest rates and the conduct of monetary policy (1991)Asset Pricing at the Millennium (2000)Time-varying short-horizon predictability☆ (2010)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Long memory and regime switching (2001)
this work references cited by second hop

References

  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 1997Threshold Cointegration1,042 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 2002Testing for two-regime threshold cointegration in vector error-correction models847 cited
  • 1998Testing and Modeling Multivariate Threshold Models677 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1992A Cointegration Analysis of Treasury Bill Yields392 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates380 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 2008A Cointegration Analysis of Treasury Bill Yields320 cited
  • 1994The term structure spread and future changes in long and short rates in the G7 countries287 cited
  • 1997

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

Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market
182 cited
  • 1998A threshold error-correction model for intraday futures and index returns164 cited
  • Cited by

    No citing works inside the corpus for this window.