Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
DOI10.1515/SNDE-2012-0024zbMath1506.62395OpenAlexW3124600531MaRDI QIDQ2687856
Efthymios Argyropoulos, Elias Tzavalis
Publication date: 7 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2012-0024
principal componentsaffine term structure modelrational expectations hypothesis of the term structure of interest ratestime-varying term premium
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
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