The persistence in volatility of the US term premium 1970--1986
type: Item
instance of: scholarly article
title: The persistence in volatility of the US term premium 1970--1986
zbMATH Open document ID: 1058.91563
DOI: 10.1016/0165-1765(95)00700-P
author: Elias Tzavalis
author: Michael Wickens
published in: Economics Letters
publication date: 1997-02-27T00:00:00Z
Mathematics Subject Classification ID: 91B64
zbMATH DE Number: 984674
zbMATH Keywords: Term structure
zbMATH Keywords: Conditional heteroscedasticity
zbMATH Keywords: Volatility
zbMATH Keywords: GARCH
zbMATH Keywords: US monetary policy
MaRDI profile type: Publication
cites work: Modelling the persistence of conditional variances
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cites work: Q4166110
cites work: The independence of tests for structural change in regression models
cites work: An equilibrium characterization of the term structure
full work available at URL: 0165-1765(95)00700-p
OpenAlex ID: W1975376750
description: scientific article; zbMATH DE number 984674