The persistence in volatility of the US term premium 1970--1986

DOI10.1016/0165-1765(95)00700-PzbMath1058.91563OpenAlexW1975376750MaRDI QIDQ1352231

Elias Tzavalis, Michael Wickens

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00700-p

zbMATH Keywords

GARCHConditional heteroscedasticityTerm structureVolatilityUS monetary policy

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (6)

Forecast Evaluation in the Presence of Unobserved Volatility ⋮ Shifts in volatility driven by large stock market shocks ⋮ The geometry of enhancement in multiple regression ⋮ Are German money market rates well behaved? ⋮ On regression-based tests for persistence in logarithmic volatility models ⋮ Mean-variance cointegration and the expectations hypothesis

Cites Work

• Unnamed Item
• The independence of tests for structural change in regression models
• A Lagrange multiplier test for GARCH models
• Modelling the persistence of conditional variances
• Asset Prices in an Exchange Economy
• An equilibrium characterization of the term structure

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