Expectations hypothesis and term structure of interest rates: an evidence from emerging market

DOI10.1007/S10690-016-9212-ZzbMath1418.91558OpenAlexW2308790478MaRDI QIDQ1627681

Hassan Shareef, Santhakumar Shijin

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-016-9212-z

zbMATH Keywords

term structureforeign exchangeexpectations hypothesisliquidity premiumvector auto-regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Reduced-form models with regime switching: An empirical analysis for corporate bonds
• Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate

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