Testing the expectations hypothesis using long-maturity forward rates

DOI10.1016/S0165-1765(02)00218-5zbMath1032.91061MaRDI QIDQ1853649

Charlotte Christiansen

Publication date: 22 January 2003

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

zbMATH Keywords

Term structure of interest ratesExpectations hypothesisForward ratesForward-rate regressionsLong maturity

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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