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Cointegration and the US term structure
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
- Department of Business Studies
- Finance Research Group
- Department of Marketing and Statistics
I de fleste tidligere studier af rentestrukturen analyseres renterne kun parvist. I artiklen vises hvordan rentestrukturen kan analyseres i et multivariat kointegreret system. I en anvendelse på amerikanske nul-kupon rentedata findes forventningshypotesens kointegrationsimplikationer at være opfyldte.
Udgivelsesdato: January
Udgivelsesdato: January
| Translated title of the contribution | Cointegration and the US term structure. |
|---|---|
| Original language | English |
| Journal | Journal of Banking & Finance |
| Issue | No.18 |
| Pages (from-to) | 167-181 |
| Number of pages | 15 |
| ISSN | 0378-4266 |
| Publication status | Published - 1994 |
- HHÅ forskning
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ID: 32315989