Tests of the rational expectations model of the term structure of UK interest rates

DOI10.1016/0165-1765(82)90125-2zbMath1268.91176OpenAlexW1979711363MaRDI QIDQ356570

Nigel W. Duck, Clifford L. F. Attfield

Publication date: 26 July 2013

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

Full work available at URL: https://doi.org/10.1016/0165-1765(82)90125-2

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Econometric tests of rationality and market efficiency

Cites Work

• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
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