Reconciling the term structure of interest rates with the consumption-based ICAP model

DOI10.1016/0165-1889(95)00872-1zbMath0875.90217OpenAlexW2050671754WikidataQ60147652 ScholiaQ60147652MaRDI QIDQ1351345

Fabio Canova, Jane Marrinan

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(95)00872-1

zbMATH Keywords

SimulationCash-in-advanceHeteroskedasticitySpreadsYields

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

Cites Work

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