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

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1993Discretion versus policy rules in practice9,059 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1997Inflation forecast targeting: Implementing and monitoring inflation targets1,666 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 2001Long memory and regime switching1,162 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models

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  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
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