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A Semiparametric Analysis of the Term Structure of the US Interest Rates. (2009). Iacone, Fabrizio.
In: Oxford Bulletin of Economics and Statistics.
RePEc:bla:obuest:v:71:y:2009:i:4:p:475-490.

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  1. The advantages of using excess returns to model the term structure. (2017). Golinski, Adam ; Spencer, Peter ; Goliski, Adam .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:1:p:163-181.

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  2. Testing cointegration in quantile regressions with an application to the term structure of interest rates. (2016). Nina, Kuriyama .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:20:y:2016:i:2:p:107-121:n:2.

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  3. Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates. (2015). Zhang, Dayong ; Barassi, Marco ; Tan, Jijun .
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1118-1140.

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  4. Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen. (2014). Dechert, Andreas.
    In: W.E.P. - Würzburg Economic Papers.
    RePEc:zbw:wuewep:93.

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  5. Fractional Cointegration Rank Estimation. (2014). Velasco, Carlos ; Łasak, Katarzyna ; Lasak, Katarzyna .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140021.

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  6. Interest Rates with Long Memory: A Generalized Affine Term-Structure Model. (2013). Osterrieder, Daniela .
    In: CREATES Research Papers.
    RePEc:aah:create:2013-17.

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  7. Fractional cointegration rank estimation. (2013). Velasco, Carlos ; Łasak, Katarzyna ; Lasak, Katarzyna .
    In: CREATES Research Papers.
    RePEc:aah:create:2013-08.

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  8. The Meiselman forward interest rate revision regression as an Affine Term Structure Model. (2012). Spencer, Peter ; Golinski, Adam.
    In: Discussion Papers.
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  9. Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks. (2012). Dechert, Andreas.
    In: MPRA Paper.
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  10. The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums. (2012). Schotman, Peter C. ; Osterrieder, Daniela .
    In: CREATES Research Papers.
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References

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    References contributed by pfo235-27740

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