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On the term structure of interest rates -- empirical results for Germany

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Publication:1901784
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DOI10.1007/BF02926034zbMath0850.90006MaRDI QIDQ1901784

Yanyan Li

Publication date: 11 December 1995

Published in: Statistical Papers (Search for Journal in Brave)



Mathematics Subject Classification ID


Related Items

Nonstationary term premia and cointegration of the term structure, Mean-variance cointegration and the expectations hypothesis



Cites Work

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  • Statistical analysis of cointegration vectors
  • Forecasting and testing in co-integrated systems
  • Stochastic dynamic properties of linear econometric models
  • On the power of unit root tests against fractional alternatives
  • Distribution of the Estimators for Autoregressive Time Series With a Unit Root
  • The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure
  • Co-Integration and Error Correction: Representation, Estimation, and Testing
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