Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects (Q2687856)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects |
scientific article |
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Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects (English)
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7 March 2023
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affine term structure model
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principal components
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rational expectations hypothesis of the term structure of interest rates
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time-varying term premium
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0.8761905
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0.8633826
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0.86290675
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0.8623525
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0.8622896
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0.8598964
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0.8532342
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