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Cointegration and the US term structure

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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
Original languageEnglish
JournalJournal of Banking & Finance
IssueNo.18
Pages (from-to)167-181
Number of pages15
ISSN0378-4266
Publication statusPublished - 1994

    Research areas

  • HHÅ forskning

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