Nonstationary term premia and cointegration of the term structure

DOI10.1016/S0165-1765(03)00139-3zbMath1254.91732OpenAlexW2130916223MaRDI QIDQ1927363

Kai-Uwe Carstensen

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(03)00139-3

zbMATH Keywords

interest ratesnonstationary factors

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Mean-variance cointegration and the expectations hypothesis

Cites Work

• Statistical analysis of cointegration vectors
• On the term structure of interest rates -- empirical results for Germany

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